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Investment proportions in minimum-variance portfolio

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Reference no: EM132540622

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 ReturnStandard DeviationStock fund (S) 22% 32%Bond fund (B) 12 19

The correlation between the fund returns is 0.11.

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.)

Reference no: EM132540622

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