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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 5.4%. The probability distributions ofthe risky funds are:

   

Expected ReturnStandard Deviation
   Stock fund (S)15%        44%         
   Bond fund (B)8%        38%         

   

The correlation between the fund returns is .0684.

   

What is the expected return and standard deviation for theminimum-variance portfolio of the two risky funds? (Do notround intermediate calculations. Round your answers to 2 decimalplaces.)

   

  Expected return%
  Standard deviation%

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