A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields two risky funds are: a sure rate of 5.8%. The probability distributions of the Expected Return 19% Standard Deviation Stock fund (S) Bond fund (B) 48% 42% 9% The correlation between the two fund returns is .0762 What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Enter your answer as a percentage rounded to two decimal places.) Expected return Standard deviation

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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A pension fund manager is considering three mutual funds. The first is a stock fund, the
second is a long-term government and corporate bond fund, and the third is a T-bill
money market fund that yields
two risky funds are:
a sure rate of 5.8%. The probability distributions of the
Expected
Return
19%
Standard
Deviation
Stock fund (S)
Bond fund (B)
48%
42%
9%
The correlation between the two fund returns is .0762
What is the expected return and standard deviation for the minimum-variance portfolio
of the two risky funds? (Do not round intermediate calculations. Enter your answer as
a percentage rounded to two decimal places.)
Expected return
Standard deviation
Transcribed Image Text:A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields two risky funds are: a sure rate of 5.8%. The probability distributions of the Expected Return 19% Standard Deviation Stock fund (S) Bond fund (B) 48% 42% 9% The correlation between the two fund returns is .0762 What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Enter your answer as a percentage rounded to two decimal places.) Expected return Standard deviation
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