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 sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 173 Bond fund (B) 11% The correlation between the fund returns is 0.25. 38% 293 Problem 6-9 (Algo) Required: Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation % % % % Section Break (8-11) [The following information applies to the questions displayed below.) 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 sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 173 38% Bond fund (B) 113 298 The correlation between the fund returns is 0.25. Problem 6-10 (Algo) Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe ratio 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 sure rate of 5.5%. The probability distributions of the risky funds are: Stock fund (S) Bond fund (B) Expected Return 173 11% Standard Deviation 38% 294 The correlation between the fund returns is 0.25. Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 14% and be efficient, that is, on the best feasible CAL. Required: What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the T-bill fund %