2.

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 Deviation, Stock fund (S)

30% & 20%

Expected Return & Standard Deviation, Bond fund (B)

15 & 18

The correlation between the fund returns is 0.20.

a-1.What are the investment proportions in the minimum-variance portfolio of the two risky funds. (Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "%" sign in your response.) (Portfolio invested in the stock % & Portfolio invested in the bond %) (12%)

a-2.What is the expected value and standard deviation of its rate of return? (Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "%" sign in your response.