What is the expected return and standard deviation

Reference no: EM132199766

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 30%. The probability distributions of the risky funds are:

	Expected Return	Standard Deviation
Stock fund (S)	12%	41%
Bond fund (B)	5%	30%

The correlation between the fund returns is 18.

What is the expected return and standard deviation of the optimal risky portfolio?

Reference no: EM132199766

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