Business, 11.11.2020 18:00 Ashley606hernandez

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 rate of 8%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation
Stock fund (S) 20% 30%
Bond fund (B) 12 15

The correlation between the fund returns is 0.10.

Required:
a. What are the investment proportions in the minimum-variance portfolio of the two risky funds?
b. What is the expected value and standard deviation of the minimum variance portfolio rate of return?

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

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