3. A pension fund manager is considering three mutual funds. The first is a stock fund, the...

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Finance

3.
A pension fund manager is considering three mutual funds. Thefirst is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fundthat yields a sure rate of 4.4%. The probability distributions ofthe risky funds are:
Expected Return Standard Deviation
Stock fund(S) 14 % 34 %
Bond fund(B) 5 % 28 %
The correlation between the fund returns is .0214.

Suppose now that your portfolio must yield an expected return of13% and be efficient, that is, on the best feasible CAL.

a. What is the standard deviation of yourportfolio? (Do not round intermediate calculations. Roundyour answer to 2 decimal places.)

Standard deviation     %
b-1. What is the proportion invested in theT-bill fund? (Do not round intermediate calculations. Roundyour answer to 2 decimal places.)

Proportion invested in the T-bill fund       %

b-2. What is the proportion invested in each ofthe two risky funds? (Do not round intermediatecalculations. Round your answers to 2 decimal places.)
ProportionInvested
Stocks %
Bonds %

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3.A pension fund manager is considering three mutual funds. Thefirst is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fundthat yields a sure rate of 4.4%. The probability distributions ofthe risky funds are: Expected ReturnStandard DeviationStock fund(S)14%34%Bond fund(B)5%28%The correlation between the fund returns is .0214.Suppose now that your portfolio must yield an expected return of13% and be efficient, that is, on the best feasible CAL.a. What is the standard deviation of yourportfolio? (Do not round intermediate calculations. Roundyour answer to 2 decimal places.)Standard deviation ______ %b-1. What is the proportion invested in theT-bill fund? (Do not round intermediate calculations. Roundyour answer to 2 decimal places.)Proportion invested in the T-bill fund ______ %b-2. What is the proportion invested in each ofthe two risky funds? (Do not round intermediatecalculations. Round your answers to 2 decimal places.)ProportionInvestedStocks%Bonds%

	Expected Return		Standard Deviation
Stock fund(S)	14	%	34	%
Bond fund(B)	5	%	28	%