Deviation for minimum-variance portfolio of two risky funds

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Reference no: EM131300458

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 4.9%. The probability distributions of the risky funds are:

Expected Return Standard Deviation

Stock fund (S) 10% 39%

Bond fund (B) 5% 33%

The correlation between the fund returns is .0030. 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 deviatio %

Reference no: EM131300458

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