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What is the expected return and standard deviation

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Reference no: EM132850304

Question - A pension fund manager is considering these mutual funds. The first is a stock fund, and the second is a long-term government and corporate bond fund. The characteristics of the risky funds are:

 

Expected Return

Standard Deviation

Stock fund (S)

15%

32%

Bond fund (B)

9

23

The correlation between the fund returns is 0.10.

Required -

a) What is the expected return and standard deviation for the minimum variance portfolio (MVP)?

b) If the fund-returns are perfectly negatively correlated, what is the return on the minimum variance portfolio?

Reference no: EM132850304

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