As a pension fund manager at Heitman Capital Management , you are considering three mutual funds. The first is a stock f

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As a pension fund manager at Heitman Capital Management , you
are 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
5.0%.
The probability distributions of the risky funds are: Expected
Return Standard Deviation Stock fund (S) 20% 35% Bond fund (B) 10%
20%
The correlation between the fund returns is 0.1.
What is the minimum-variance portfolio proportion in stock fund
?
What is the mean of the minimum variance portfolio ?
What is the standard deviation of the minimum variance portfolio
?
What is the Sharpe ratio of the minimum variance portfolio