Question: 5 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

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 5

fund, and the third is a T-bill money market fund that yields

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 4.5%. The probability distributions of the risky funds are: Expected Return Stuck fund (5) 130 Bond fund (0) (9% The correlation between the fund returns is 035 Problem 6-8 (Algo) Required: What is the expected return and standard deviation for the minimum-verance portfolio of the two risky funds? (Do not round Intermediate calculations. Round your answers to 2 decimal places) Expected return Standard deviation Standard Deviation 40% 102 % %

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To find the minimumvariance portfolio of the two risky funds Stock fund and Bond fund we need to calculate the proportions invested in each fund that minimize the portfolios variance The formula for t... View full answer

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