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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

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 Standard Deviation
Stock fund (S) 21 % 36 %
Bond fund (B) 13 22

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.)

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