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 5.3%. The probability distributions ofthe risky funds are:

Expected Return Standard Deviation
  Stock fund (S) 14 % 43 %
  Bond fund (B) 7 % 37 %

The correlation between the fund returns is .0459.
Suppose now that your portfolio must yield an expected return of12% and be efficient, that is, on the best feasible CAL.

a.
What is the standard deviation of your portfolio? (Donot round intermediate calculations. Round your answer to 2 decimalplaces.)

  Standard deviation %

b-1.
What is the proportion invested in the T-bill fund? (Donot round 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 risky funds?(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 5.3%. The probability distributions ofthe risky funds are: Expected ReturnStandard Deviation Stock fund (S)14%43% Bond fund (B)7%37% The correlation between the fund returns is .0459.Suppose now that your portfolio must yield an expected return of12% and be efficient, that is, on the best feasible CAL. a.What is the standard deviation of your portfolio? (Donot round intermediate calculations. Round your answer to 2 decimalplaces.) Standard deviation% b-1.What is the proportion invested in the T-bill fund? (Donot round 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 risky funds?(Do not round intermediate calculations. Round your answersto 2 decimal places.) Proportion Invested Stocks% Bonds%

	Expected Return		Standard Deviation
Stock fund (S)	14	%	43	%
Bond fund (B)	7	%	37	%