Problem 7-4 A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-te

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Problem 7 4 A Pension Fund Manager Is Considering Three Mutual Funds The First Is A Stock Fund The Second Is A Long Te 1 (60.31 KiB) Viewed 24 times

Problem 7-4 A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 22% 12 Standard Deviation 38% 16 The correlation between the fund returns is 0.10. a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond a-2. What are the expected value and standard deviation of the minimum-variance portfolio rate of return? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Rate of Return Expected return Standard deviation