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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 rate of 5.6%. The probability distribution of therisky funds is as follows:

  

Expected ReturnStandard Deviation
   Stock fund (S)17%        46%         
   Bond fund (B)8        40         

  

The correlation between the fund returns is 0.16.

  

Solve numerically for the proportions of each asset and for theexpected return and standard deviation of the optimal riskyportfolio. (Do not round intermediate calculations andround your final answers to 2 decimal places. Omit the \"%\" sign inyour response.)

  

  Portfolio invested in the stock%
  Portfolio invested in the bond%
  Expected return%
  Standard deviation%

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