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 rate of 5%. The probability distribution of the risky funds is as follows:

ExpectedReturn Standard Deviation

Stock fund (S) 17% 38%

Bond fund (B) 13 18

The correlation between the fund returns is 0.12.

You require that your portfolio yield an expected return of 12%, and that it be efficient, on the best feasible CAL.

a.What is the standard deviation of your portfolio?(Round your answer to 2 decimal places.)

b.What is the proportion invested in the T-bill fund and each of the two risky funds?(Round your answers to 2 decimal places.)

t bill fund_____%

stocks_______%

bond_________%