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 $5\mathrm{.}5\%.$ The probability

distributions of the risky funds are:

The correlation between the fund returns is $0\mathrm{.}17.$

Problem $6-9($Algo$)$

Required:

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

portfolio. $($Do not round intermediate calculations and round your final answers to $2$ decimal places.$)$

Answer is complete but not entirely correct.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 $5\mathrm{.}5\%.$ The probability distributions of the risky funds are:

Expected Return Standard Deviation

Stock fund $($S$)16\%34\%$

Bond fund $($B$)10\%25\%$

The correlation between the fund returns is $0\mathrm{.}17.$ Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. $($Do not round intermediate calculations and round your final answers to $2$ decimal places.$)$ Portfolio investment in stock $\_\_\_\%,$ Portfolio investment in bond $\_\_\_\%,$ Expected return $\_\_\_\%,$ standard deviation$\_\_\_\%$