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 5.8%. The probability distribution of the risky

funds is as follows:

Expected Return

19%

Standard

Stock fund (S)

Bond fund (B)

The correlation between the fund returns is 0.18.

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. Omit the "%" sign

in your response.)