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What is 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 5.7%. The probability distributions of the risky funds are:

Expected Return. Standard Deviation

Stock fund (S). 18%. 47%

Bond fund (B). 7%. 41%

The correlation between the fund returns is 0.0317.

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 deviation: %

Reference no: EM132645538

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