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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 5.2%. The probability distributions ofthe risky funds are:

ER SD

Stock fund (S) 13% 42%

Bond fund (B) 6% 36%

The correlation between fund returns is .0222. What are theexpected return and standard deviation for the minimum-varianceportfolio of the two risky funds?

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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 5.2%. The probability distributions ofthe risky funds are:ER SDStock fund (S) 13% 42%Bond fund (B) 6% 36%The correlation between fund returns is .0222. What are theexpected return and standard deviation for the minimum-varianceportfolio of the two risky funds?

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