A pension fund manager is considering three assets. The first is a stock fund, the second is a long-term government and corporate bond fund, and the...

A pension fund manager is considering three assets. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill yielding 8%. The probability distribution of the risky funds is as follows:

E[r]std. dev.Stock fund20%30%Bond fund12%15%

The correlation between the fund returns is 0.10. What is the investment proportion in the minimum variance portfolio of stock fund?