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

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Finance

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 4.5%. The probability distributions ofthe risky funds are:
Expected Return Standard Deviation
Stock fund (S) 15 % 35 %
Bond fund (B) 6 % 29 %
The correlation between the fund returns is .0517.

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

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

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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 4.5%. The probability distributions ofthe risky funds are: Expected ReturnStandard DeviationStock fund (S)15%35%Bond fund (B)6%29%The correlation between the fund returns is .0517.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.)b-1. What is the proportion invested in theT-bill fund? (Do not round intermediate calculations. Roundyour answer to 2 decimal places.)b-2. What is the proportion invested in each ofthe two risky funds? (Do not round intermediatecalculations. Round your answers to 2 decimal places.)

	Expected Return		Standard Deviation
Stock fund (S)	15	%	35	%
Bond fund (B)	6	%	29	%