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:

	Expected Return			Standard Deviation
Stock fund (S)		17%			30%
Bond fund (B)		11%			22%

The correlation coefficient between the fund returns is 0.10.

You require that your portfolio yield an expected return of 14%, and that it be efficient, on the best feasible CAL.

What is the standard deviation of your portfolio?

17.25%

18.18%

19.42%

20.33%

16.08%