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 4.3%. The probability distributions of the risky funds are:

Expected Return Standard Deviation

Stock fund (S)1 3% 34%

Bond fund (B) 6% 27%

The correlation between the fund returns is .0630.

Suppose now that your portfolio must yield an expected return of 11% and be efficient, that is, on the best feasible CAL.

a.What is the standard deviation of your portfolio?(Do not round intermediate calculations. Round your answer to 2 decimal places.)

Standard deviation ________%

b-1.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%

b-2.What is the proportion invested in each of the two risky funds?(Do not round intermediate calculations. Round your answers to 2 decimal places.)

Proportion Invested

Stocks _____%

Bonds ______%