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1. The standard deviation of the market-index portfolio is 20%. Stock A has a beta of 2.80 and a residual standard deviation of 30%. 3.) Calculate the total variance for an increase of 0.25 in its beta. b.) Calculate the total variance for an increase of 8.54% in its residual standard deviation 2. Consider the following table: Shack Fund Bond. Fund Scenark Pmbahllily Rate of Ram!!! Rain of Rum Severe recession 0.10 49% 1 2% Mild recession 0.20 49% 18% Normal gth 0.40 24% 11% Boom 0.30 29% B% a.) Calculate the values of mean return and variance for the stock fund. b.) Calculate the value of the covariance between the stock and bond funds. 3. A pension fund manager is considering three mutual uids. The rst is a stock fund, the second is a long-term government and corporate bond fund, and the third is a Tbill money market fund that yields a sure rate of 4.9%. The probability distributions of the risky funds are: Stock fund (sum 39% Bond fund (3) 5% 33% The correlation between the ind returns is 0.0030. What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? The parameters of the opportunity set of possible portfolios are: 01,) 2 10%, E(r,) 2 5%, s 2 39%, o, 2 33%, p 2 0.0030, :3 2 4.9% The covariance between stocks and bonds is calculated as: Covm, r5) = pox-0i Wmm(S) : \"a: _ COVU'S' rs} z 1 as + Us 2Cov(r_\\, r") Variance for the min-var portfolio: 1 GM!!! 2 [WSZGSE + WI! 05: + ZWSWH C0v(r5' '31)]\"2