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)	17%	32%
Bond fund (B)	11%	23%

The correlation between the fund returns is 0.25.

Required:

Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio.

Portfolio invested in the stock: _____%

Portfolio invested in the bond: _____%

Expected return: ______%

Standard deviation: _____%