1. Markowitz Portfolio Optimisation. [30 Marks]

Lisa is considering two risky funds, the S&P 500 index fund and a corporate bond fund, plus Treasury bills (T-Bills). The information of the funds and T-bills are as follows:

	Expected Return	Standard Deviation
S&P 500	16%	20%
Corporate Bond Fund	10%	15%
T-bills	6%	0

The correlation between the S&P 500 index fund and the corporate bond fund is 0.4.

1. Calculate the investment weights in the minimum-variance portfolio of the two risky funds, the expected return and standard deviation of the minimumvariance portfolio.