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): Expected return = 12% and standard deviation = 32%
• Bond Fund (B): Expected return = 8% and standard deviation = 23%
• The correlation between the fund returns is 0.15.

Which of the following is closest to the expected return for the optimal risky portfolio?

Which of the following is closest to the Sharpe Ratio for the optimal risky portfolio?