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 6%. The characteristics of the risky funds are as follows:

Expected Return Stock fund (S) 16 %, Bond fund (B) 12%. Standard Deviation Stock fund (S) 35%, Bond fund (B) 15%. 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, 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.)