Consider historical data showing that the average annual rate of return on the KOSP1200 portfolio over the past 40 years has averaged about 15% more than the 3-month government bonds return and that the KOSP1200 standard devation has been about 35% per year. Assume these values are representative of investor's expectations for future performance and the current 3-month government bonds rate is 0.5%. Use these values to solve problem. (Assume that the 3-month government bond is a risk-free asset.) Calculate the best portfolio for an investor with A=5 when utility function is as follows.utility function = expected return-0.5*A"variance) OKOSP1200 index 80%, government bond 20% 2 KOSPI200 index 20%, government bond 80% 3 KOSP1200 index 40%, govemment bond 60% OKOSP1200 index 60%, govemment bond 40% 12. A pension fund manager is considering three funds. The first is a stock fund with expected retum of 20% and standard deviation of 30%. The second is a long-term corporate bond fund with standard deviation of 15%. The third is a money market fund that yields a rate of 8%. The correlation between the stock fund and the bond fund is 0.1. expected return of 12% and What is the investment proportions of the optimum risky portfolio of the two risky funds? 13.Which one of the following portfolios cannot lie on the efficient frontier ? expected return: 12%, standard deviation 15% expected retum: 5%, standard deviation 7% expected retum: 15%, standard deviation 36% expected return :9%, standard deviation 21%