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:

Stock fund: expected return = 17%, standard deviation = 30%

Bond fund: expected return = 11%, standard deviation = 22%

The correlation between the fund returns is 0.10.

You require that your portfolio yield an expected return of 14%, and that it be efficient, on the best feasible CAL.

a. What is the standard deviation of your portfolio?

b. What is the proportion invested in the T-bill fund and each of the two risky funds?

Please show work.