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 8%. The characteristics of the risky funds are as follows:

Stock fund (S): Expected return: 20%, Standard Deviation: 30%

Bond fund (B): Expected return: 12%, Standard Deviation: 15%

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, that is, on the steepest feasible CAL.

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

Standard deviation ____ %

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.)

Proportion Invested

T-bill fund ____%

Stocks ____%

Bonds ____%