What are the investment proportions

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Reference no: EM131926641

Question: 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	Standard deviations
Stock fund S	16%	38%
Stock fund B	12	21

The correlation between the fund returns is 0.12.

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.)

Portfolio invested in the stock ______??

Portfolio invested in the bond ______??

a-2. What is the expected value and standard deviation of its rate of return? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.)

Rate of return

Expected return ______ ??

Standard deviation _______??

Reference no: EM131926641

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