1. A pension fund manager is considering three mutual funds. The first is Outdoorsman fund, the second is a ChiCal fund, and the third is a T-bill money market fund (risk-free) that yields a sure rate of 5%. The correlation between Outdoorsman and ChiCal is-02. Suppose the optimal risky portfolio includes 70.75% stock fund and 29.25% bond fund. The probability distributions of the risky fund are (26pts) Expected return 15% S.D 32% 23% Stock fund (S) Bond fund (B) 9% A. What would be the expected return and S.D. of the optimal risky portfolio? (6pts) B. What is the Sharpe ratio of the best feasible CAL. Write down the equation for CAL. (4pts) C. The fund manager decides to place 70% of the funds in the risky portfolio and 30% of funds in the T-bill fund. Calculate the percentages of the stock fund and bond fund in the complete portfolio. (4pts) D. Calculate the expected return and S.D. of the complete portfolio based on Question C.(6pts) E. Suppose now that the fund manager wants the yield on the complete portfolio to be 12% and be efficient, that is on the best feasible CAL. What would be the portion of the complete portfolio invested in the T-bill fund, stock fund, and bond fund? (5pts)