Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio.

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 8%. The probability distribution of the risky funds is as follows:

The correlation between the fund returns is.10.

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Expected Return Standard Deviation 30% 15 Stock fund (S) Bond fund (B) 20% 12