Please present neatly and box final answer.

Chapter 7 Homework Question 1

a-3.

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 20% 12 Standard Deviation 30% 15 Stock fund (S) Bond fund (B) 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. not round intermediate calculations. Enter your nswers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond a-2. What is 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 11 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 20% 12 Standard Deviation 30% 15 Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.10. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation HII