20% 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 tund, and the third is a T-bil money market tund that yields a risk-free rate (for this question, assume that the T-billfund is a risk-free investment). The return characteristics are the following: Asset Expected return Standard deviation Stock fund (S) 20% 30% Bond fund (B) 10% Riskless Asset 2% Correlation(B, S) = 0 3.5pts] What are the proportions of each risky fund in the optimal risky portfolio? b. 120p] A client requires that her portfolio give her the greatest utility and that it be efficient on the best feasible capital allocation line. Her risk aversion is 5. What is the proportion invested in the T-bil fund and each of the two risky funds? Attach File Blows Local Fles trowse Content Cocoon