4. What are the investment proportions in the minimum-variance portfolio of the tw risky funds, and what is the expected value and standard deviation of its rate of return? The parameters of the opportunity set are: E(rs) = 20%, E(rB) = 12% Us 2 30%, GB 2 15% pAB = 0.10 From the standard deviations and the correlation coefficient we can generate the \"covariance matrix\" (note that 053 = p53 x 65 X UB): Bonds Stocks Bonds .0225 .0045 Stocks .0045 .0900 For formula for the minimum variance weight is on page 204 in the text. (I did not derive this in class.) Wst = WsMi\" = 1 [I 0.1739 = 0.8261 Expected Return Stande Deviation of the minimum variance portfolio are: E(rMin) = (0.1739)(0.20) + (0.8261)(0.12) = 13.39%