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

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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 5.6%. The probability distributions ofthe risky funds are: Expected Return Standard Deviation Stock fund(S) 17 % 46 % Bond fund (B) 8 % 40 % The correlation between thefund returns is .0600. Suppose now that your portfolio must yieldan expected return of 15% and be efficient, that is, on the bestfeasible CAL.
a. What is the standard deviation of your portfolio? (Do notround intermediate calculations. Round your answer to 2 decimalplaces.) Standard deviation %
b-1. What is the proportion invested in the T-bill fund? (Do notround intermediate calculations. Round your answer to 2 decimalplaces.) Proportion invested in the T-bill fund %
b-2. What is the proportion invested in each of the two riskyfunds? (Do not round intermediate calculations. Round your answersto 2 decimal places.) Proportion Invested Stocks % Bonds %

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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 5.6%. The probability distributions ofthe risky funds are: Expected Return Standard Deviation Stock fund(S) 17 % 46 % Bond fund (B) 8 % 40 % The correlation between thefund returns is .0600. Suppose now that your portfolio must yieldan expected return of 15% and be efficient, that is, on the bestfeasible CAL.a. What is the standard deviation of your portfolio? (Do notround intermediate calculations. Round your answer to 2 decimalplaces.) Standard deviation %b-1. What is the proportion invested in the T-bill fund? (Do notround intermediate calculations. Round your answer to 2 decimalplaces.) Proportion invested in the T-bill fund %b-2. What is the proportion invested in each of the two riskyfunds? (Do not round intermediate calculations. Round your answersto 2 decimal places.) Proportion Invested Stocks % Bonds %