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CHW5: Chapter 6 Efficient Diversification Help Save it 10 Check my work A pension fund...

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CHW5: Chapter 6 Efficient Diversification Help Save it 10 Check my work 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 yields a rate of 57%. The probability distribution of the sky funds is as follows: 10 Stock fund (5) Bond Fund (8) Expected Return 185 2 Standard deviation 474 41 The correlation between the fund returns is 0.17 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 and round your final answers to 2 decimal places. Omit the ** sign in your response.) 1% Portfolio invested in the stock Portfolio invested in the bond Expected retum Standard devinbon 50

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