Minimum-variance portfolio of the two risky funds

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Reference no: EM132001306

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 a sure rate of 5.4%. The probability distributions of the risky funds are: Expected Return Standard 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 the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Expected return % Standard deviation %

Reference no: EM132001306

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