A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 6%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock fund (S) 24 % 33 % Bond fund (B) 14 22 The correlation between the fund returns is 0.14. You require that your portfolio yield an expected return of 16%, and that it be efficient, that is, on the steepest feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) Standard Deviation???= b. What is the proportion invested in the money market fund and each of the two risky funds? (Round your answers to 2 decimal places.) Money

Market Fund???=

Stocks???=

Bonds???=