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 4.2%. The probability distributions of the risky funds are

C . C E] i i _E H ezto.mheducation.com C i o Homework 4 0 Saved Help Save 8. Exit Submit Check my work A pension fund manager is considering three mutual funds. The rst is a stock fund, the second is a longterm government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 4.2%. The probability distributions of the risky funds are: 9.09 points Expected Return standard Deviation Stock fund (5) 12% 33% Bond fund (B) 5% 26% eBook .. ,,. m . ,, ,, .7" , ,, The correlation between the fund returns is .0308. Print References Suppose now that your portfolio must yield an expected return of 11% and be efcient, 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 Tbill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the T-bill fund _ % Mc mw ( Prev 2 of 11 iii Next > Education