A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long

$-$

term bond fund, and the third is a money market fund that provides a safe return of

$7$

$\%$

$.$

$$The characteristics of the risky funds are as follows:

$$

$$ Expected Return Standard Deviation

Stock fund

$($

S

$)18$

$\%$

$35$

$\%$

Bond fund

$($

B

$)1520$

$$

$$

The correlation between the fund returns is

$0\mathrm{.}12$

$.$

$$

You require that your portfolio yield an expected return of

$13$

$\%$

$,$

$$and that it be efficient, that is

$,$

$$on the steepest 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 money market fund and each of the two risky funds?

$($

Round your answers to

$2$

$$decimal places.

$)$