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A pension fund manager is considering three mutual funds. The first is a stock fund, the...

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Finance

A pension fund manager is considering three mutual funds. Thefirst is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fundthat yields a sure rate of 5.6%. The probability distributions ofthe risky funds are:

Expected ReturnStandard Deviation
Stock fund (S)17%46%
Bond fund (B)8%40%

The correlation between the fund returns is 0.0600.

Required: What is the expected return andstandard deviation for the minimum-variance portfolio of the tworisky funds? (Do not round intermediate calculations. Round youranswers to 2 decimal points).

P.S. If you do the problems in Excel, can you show what formulasyou used? I'm not sure how to do the covariance that's required forthe question.

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