The following data apply to Problems 4 through 10: 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)	20%	30%
Bond fund (B)	12	15

The correlation between the fund returns is .10.

• 4) What are the investment proportions in the minimum-variance portfolio of the two risky funds, and what are the expected value and standard deviation of its rate of return?
• 9) You require that your portfolio yield an expected return of 14%, and that it be efficient, that is, on the steepest feasible CAL.
  • What is the standard deviation of your portfolio?
  • What is the proportion invested in the money market fund and each of the two risky funds?