Problem 2 (20 points). A pension fund manager is considering two mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund. The probability distribution of the risky funds is as follows: Stock fund (S) Bond fund (B) Expected Retum 0.20 0.12 Standard Deviation 0.30 0.15 The correlation between the fund returns is 0.10. Please keep 4 numbers after the decimal point in your answers. 2.a. (2 points) What is the covariance between the two funds' returns? 2.b. (6 points) What are the weights of the two risky furks in the minimum-variance portfolio 2.c (4 points) What is the expected return of the minimum variance portfolio? 2.0, (8 points) What is the standard deviation of the minimum variance portfolio