A pension fund manager is considering three mutual funds. The first is a stock fund, thesecond is a long-term government and corporate bond fund, and the third is a T-billmoney market fund that yields a sure rate of 4.2%. The probability distributions of therisky funds are:Expected returnStandardExpected Return12%5%Stock fund (S)Bond fund (B)The correlation between the fund returns is .0308.What is the expected return and standard deviation for the minimum-variance portfolioof the two risky funds? (Do not round intermediate calculations. Round your answersto 2 decimal places.)deviationStandard Deviation33%26%11.2128.63 %

The minimum variance portfolio is the portfolio consisting of risky assets where the investor…

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 12% 5% Standard Deviation 33% 26% Stock fund (S) Bond fund (B) 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 intermediate calculations. Round your answers to 2 decimal places.)

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 12% 5% Standard Deviation 33% 26% Stock fund (S) Bond fund (B) 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 intermediate calculations. Round your answers to 2 decimal places.)

Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)

7th Edition

ISBN:9780357033609

Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Chapter13: Investing In Mutual Funds, Etfs, And Real Estate

Section: Chapter Questions

Problem 8FPE

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