Question: 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? (Do not

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? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) 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.)

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 Standard Return Deviation Stock fund (5) 20% 30% Bond fund (B) 12 15 The correlation between the fund returns is 0.10. 3-1. 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 The minimum-variance portfolio is computed as follows: OB 2 - Cov(r's rB) 225 - 45 WMin (S) = = 0.1739 OS 2 + OB 2 - 2COV(IS, (B) 900 + 225 - (2 x 45) WMin (B) = 1 - 0.1739 = 0.8261

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