A pension fund manager is considering three mutual funds. The first is a stock fund, the second
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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 5.5%. The probability distributions of the risky funds are:
Expected Return Standard Deviation
Stock fund (S): 15% 32%
Bond fund (B): 9% 23%
The correlation fund returns is .15
What is the standard deviation and expected return for the T-Bill?
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