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 6%. The probability distribution of the risky funds is as follows:

Expected Return Standard Deviation Stock fund (S) 17 % 38 % Bond fund (B) 12 17

The correlation between the fund returns is 0.13.

You require that your portfolio yield an expected return of 11%, 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.)

Standard Deviation = (in %)

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.)

T-bill Fund= (in %) Stocks = (in %) Bonds= (in %)