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Explain the expected return and standard deviation

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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 two risky funds are:

Expected ReturnStandard Deviation

Stock fund (S) ER 16% SD 45%

Bond fund (B) ER 7% SD 39%

The correlation between the two fund returns is .0385.

What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Enter your answer as a percentage rounded to two decimal places.)

Reference no: EM132658631

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