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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,

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) 20% 30%
Bond fund (B) 12 15

The correlation between the fund returns is 0.10.

Tabulate the investment opportunity set of the two risky funds. (Round your answers to 2 decimal places. Omit the "%" sign in your response.)

Proportion in Stock Fund Proportion in Bond Fund Expected Return Standard Deviation
0.00% 100.00% % %
17.39 82.61
20.00 80.00
40.00 60.00
45.16 54.84
60.00 40.00
80.00 20.00
100.00 0.00

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