Expected return and standard deviation for the minimum-variance

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 4.2%. The probability distributions of the risky funds are:

                              Expected Return          Standard Deviation

Stock fund (S)                 12%                                33%

Bond fund (B)                   5%                                 26%

The correlation between the fund returns is .0308.

What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round off intermediate calculations. Round your answers to 2 decimal places.)

Expected return ____________________%

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 4.2%. The probability distributions of the risky funds are:

                              Expected Return          Standard Deviation

Stock fund (S)                 12%                                33%

Bond fund (B)                   5%                                 26%

The correlation between the fund returns is .0308.

What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round off intermediate calculations. Round your answers to 2 decimal places.)

Expected return ____________________%

Standard deviation __________________%

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