For this question, round your answers to $3$ decimal places and do not express your answers as

percentages.

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 $($The correlation

between the fund returns is $0\mathrm{.}10)$:

a$.$ What are the investment proportions in the minimum$-$variance portfolio of the two risky funds, and

what is the Sharpe ratio, expected value and standard deviation of its rate of return?

The minimum variance portfolio weight for Stock fund is

The minimum variance portfolio weight for Bond fund is

The expected return for minimum variance portfolio is

The standard deviation for minimum variance portfolio is

The Sharpe ratio for minimum variance portfolio is

b$.$ What is the Sharpe ratio, expected value and standard deviation of an equally$-$weighted portfolio

of the two risky funds?

The expected return for equally$-$weighted portfolio is

The standard deviation for equally$-$weighted portfolio is

The Sharpe ratio for equally$-$weighted portfolio is

c$.$ What are the investment proportions in the optimal risky portfolio of the two risky funds, and

what is the Sharpe ratio, expected value and standard deviation of its rate of return?

The optimal risky portfolio weight for Stock fund is

The optimal risky portfolio weight for Bond fund is

The expected return for optimal risky portfolio is

The standard deviation for optimal risky portfolio is

The Sharpe ratio for optimal risky portfolio is

d$.$ You require that your portfolio yield an expected return of $16\%,$ and that it be efficient, on the best

feasible CAL. What is the standard deviation and Sharpe ratio of your portfolio? What is the

proportion invested in the T$-$bill fund and each of the two risky funds?

The standard deviation for your portfolio is

The Sharpe ratio for your portfolio is

The proportion invested in T$-$bill fund is

$x$

The proportion invested in Stock fund is

portion invested in Bond fund is