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 thirdis a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows:Stock fund (S)Bond fund (B)ExpectedReturn17%StandardDeviation38%1318The correlation between the fund returns is 0.12.Required:a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds?a-2. What are the expected value and standard deviation of the minimum-variance portfolio rate of return?Complete this question by entering your answers in the tabs below.Req A1Req A2What are the expected value and standard deviation of the minimum-variance portfolio rate of return?Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.Expected returnStandard deviation< Req A1Req A2 >

Given Data: Expected Return (S)17%Expected Return (B)13%Risk free rate8%Srandard…

Answered: Expected return Standard deviation

Business

Finance

Expected return Standard deviation

Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)

7th Edition

ISBN:9780357033609

Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Chapter13: Investing In Mutual Funds, Etfs, And Real Estate

Section: Chapter Questions

Problem 5FPE

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