(5 points) A pension fund manager is considering to invest in a stock fund and a corporate bond fund. The probability distribution of the risky funds is as follows: The correlation between the fund returns is 0.1. A T-bill money market fund yields a rate of 8%. (a) What are the investment proportions in the minimum-variance portfolio of the two risky funds, and what is the expected value and standard deviation of its rate of return? (b) What are the investment proportions in the optimal portfolio of the two risky funds? Hint: Maximize the Sharpe ratio of the risky portfolio and find the optimal weight E for the stock fund. The weight of the bond fund is D=1E. (c) Tabulate and draw the investment opportunity set of the two risky funds. Use investment proportions for the stock fund of 0% to 100% in increments of 20%. (d) Draw a tangent from the risk-free rate to the opportunity set. What does your graph show for the expected return and standard deviation of the optimal portfolio? (5 points) A pension fund manager is considering to invest in a stock fund and a corporate bond fund. The probability distribution of the risky funds is as follows: The correlation between the fund returns is 0.1. A T-bill money market fund yields a rate of 8%. (a) What are the investment proportions in the minimum-variance portfolio of the two risky funds, and what is the expected value and standard deviation of its rate of return? (b) What are the investment proportions in the optimal portfolio of the two risky funds? Hint: Maximize the Sharpe ratio of the risky portfolio and find the optimal weight E for the stock fund. The weight of the bond fund is D=1E. (c) Tabulate and draw the investment opportunity set of the two risky funds. Use investment proportions for the stock fund of 0% to 100% in increments of 20%. (d) Draw a tangent from the risk-free rate to the opportunity set. What does your graph show for the expected return and standard deviation of the optimal portfolio