# 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 yieldstwo risky funds are:a sure rate of 5.8%. The probability distributions of theExpectedReturn19%StandardDeviationStock fund (S)Bond fund (B)48%42%9%The correlation between the two fund returns is .0762What is the expected return and standard deviation for the minimum-variance portfolioof the two risky funds? (Do not round intermediate calculations. Enter your answer asa percentage rounded to two decimal places.)Expected returnStandard deviation

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Step 1

Cov (S,B) is calculated as follows:

Step 2

The weight of stock fund (S) and stock fund (B) at optimal portfolio can be ascertained as follows:

Step 3

Expected return of portfolio can be ascertained as follows:

Therefore, the expected retur...

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