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 5%. The probability distribution of the risky funds is as follows:

Expected Return Standard Deviation Stock fund (S) 20 % 35 % Bond fund (B) 11 15

The correlation between the fund returns is 0.09.

You require that your portfolio yield an expected return of 12%, and that it be efficient, on the best feasible CAL.

a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.)

b. What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.)

	Proportion Invested
T-bill fund		%
Stocks		%
Bonds		%