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 sure rate of 3.0%. The probability distributions of the risky funds are:

	Expected Return		Standard Deviation
Stock fund (S)	12	%	41	%
Bond fund (B)	5	%	30	%

The correlation between the fund returns is .0667.

Suppose now that your portfolio must yield an expected return of 9% and be efficient, that is, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Standard deviation _______%

b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Proportion invested in T-bill fund_____%

b-2. What is the proportion invested in each of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.)

	Proportion invested
Stocks	%
Bonds	%

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 sure rate of 3.0%. The probability distributions of the risky funds are Standard Deviation Stack Fund (5) Expected Return 12% Bond fund (3) The correlation between the fund returns is .0667 Suppose now that your portfolio must yield an expected return of 9% and be efficient, that is on the best feasible CAL. a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Answer is not complete. Standard deviation b-1. What is the proportion Invested in the T-bill fund? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the T-bil fund % b-2. What is the proportion Invested in each of the two risky funds? (Do not round Intermediate calculations. Round your answers to 2 decimal places.) Answer is not complete. Proportion Invested Stocks Bonds