The following table presents the performance of stock and bond funds under various scenarios.

a. Calculate the expected returns, standard deviations, correlation coefficient of the stock and bond funds.

b. Suppose an investor forms a portfolio with stocks and bonds. Find the investment opportunity set in differing proportions.

c. Draw the investment opportunity set.

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Scenario Probability | Rate of return of bond fund (%) -8 Severe recession Mild recession Normal growth Boom Rate of return of stock fund (%) -35 -10 15 0.10 0.20 0.50 0.20 30 Portfolio expected Portfolio standard deviation return Weights in stock fund 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0