Assumptions for problems 1-6: 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 risky funds is as follows: Fund Stock Fund (S) Bond Fund (B) Expected Return 20% 12% Standard Deviation 30% 15% The correlation between the two funds is 0.10. Problem #1: What are in investment proportions in the minimum variance portfolio of the two risky funds, and what is the expected value and standard deviation of its rate of return? Problem #2: Tabulate (no need to draw) the investment opportunity set of the two risky funds. Use investment proportions for the stock fund of 0% to 100% in increments of 20%. Professor Cursio adds: The question wants you to fill this in Proportion of S Proportion of B 0% E[re] de 20% 40% 60% 80% 100%