risk nonsystematic risk diversifiable risk minimum-variance portfolio portfolio opportunity set reward-to-variability ratio optimal risky portfolio minimum-variance frontier efficient frontier of risky assets input list separation property     WEBSITES http://finance.yahoo.com can be used to find historical price information to be used in estimating returns, standard deviation of returns, and covariance of returns for individ- ual securities. The information is available within the chart function for individual securities. http://www.financialengines.com has risk measures that can be used to compare indi- vidual stocks to an average hypothetical portfolio. http://www.portfolioscience.com uses historical information to calculate potential losses for individual securities or portfolios of securities. The risk measure is based on the concept of value at risk and includes some capabilities of stress testing.         PROBLEMS The following data apply to problems 1 through 8: 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:   Expected Return Standard Deviation   Stock fund (S ) 20% 30% Bond fund (B ) 12 15   The correlation between the fund returns is .10. 1. What are the investment proportions in the minimum-variance portfolio of the two risky funds, and what is the expected value and standard deviation of its rate of return? 2. Tabulate and draw the investment opportunity set of the two risky funds. Use invest- ment proportions for the stock funds of zero to 100% in increments of 20%.