A pension fund manager is considering three mutual funds. The first is a stock fund, the second
Fantastic news! We've Found the answer you've been seeking!
Question:
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 3.1%. The probability distributions of the risky funds are:
Expected Return Standard Deviation
Stock fund (S) 10% 41%
Bond fund (B) 7% 15%
The correlation between the fund returns is 0.32.
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?
Related Book For
Posted Date: