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 Return | Standard 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.
