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

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Finance

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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 ylelds a rate of 7%. The probability distribution of the risky funds is as follows: Expected Return 18% 15 Standard Deviation 35% 20 Stock fund (S) Bond fund (B) The correlation between the fund returns is 012. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation

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