As a pension fund manager atHeitman Capital Management, you are 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 sure rate of 5.0%. The probability distributions of the risky funds are:

Stock fund (S)

Expected Return: 20%

Standard Deviation: 35%

Bond fund (B)

Expected Return: 10%

Standard Deviation: 20%

The correlation between the fund returns is 0.25.

Please choose all correct answers related to the following quesitons.

What is the minimum-variance portfolio proportion in stock fund?

What is the mean of the minimum variance portfolio?

What is the standard deviation of the minimum variance portfolio?

What is the Sharpe ratio of the minimum variance portfolio?

Please choose all correct answers.

1.The standard deviation of the minimum variance portfolio is 14.22%

2.The mean of the minimum variance portfolio 11.76%

3.The Sharpe ratio of the minimum variance portfolio is 69.69%

4.The mean of the minimum variance portfolio 14.35%

5.The standard deviation of the minimum variance portfolio is 12.22%

6.The Sharpe ratio of the minimum variance portfolio is 39.69%.

7.The minimum-variance portfolio proportion in stock fund is 22.22%

8.The Sharpe ratio of the minimum variance portfolio is 35.64%

9.The minimum-variance portfolio proportion in stock fund is 17.65%

10.The standard deviation of the minimum variance portfolio is 18.98%

11.The minimum-variance portfolio proportion in stock fund is 23.33%

12.The mean of the minimum variance portfolio 11.76%