A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock fund (S) 16 % 35 % Bond fund (B) 12 15 The correlation between the fund returns is 0.11. a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond a-2. What are the expected value and standard deviation of the minimum-variance portfolio rate of return? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Rate of Return Expected return Standard deviation Expert Answerinformation icon Anonymous's Avatar Anonymous answered thisWas this answer helpful? Thumbs up inactive0Thumbs down inactive0 10,061 answers B 19% 12% 32% 15% 0.11 A 1 Expected return on stock fund [E(rs)] 2 Expected return on bond fund [E(rb)] 3 SD of stock fund *Please rate thumbs up Comment Up next for you in Finance The risk that can be diversified away is __________. beta firm-specific risk systematic risk market risk See answer Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 1.5% + 0.55RM + eA RB = 1.4% + 0.6RM + eB M = 18%; R-squareA = 0.25; R-squareB = 0.16 Assu See answer See more questions for subjects you study Post a question Answers from our experts for your tough homework questions