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A pension fund manager is considering three mutual funds. The first is a stock fund,...

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Finance

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:

Expected Return Standard Deviation
Stock fund (S) 16 % 38 %
Bond fund (B) 12 21

The correlation between the fund returns is 0.12. 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.)

expected return - ???

standard deviation - ???

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