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 6%. The probability distribution of the risky funds is as follows:

	Expected Return	Standard Deviation
Stock fund (S)	21%	28%
Bond fund (B)	12	18

The correlation between the fund returns is 0.09.

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. Enter your answers as decimals rounded to 4 places.)

a_____ Portfolio invested in the stock
b _____ Portfolio invested in the bond
c_____ Expected return
d____ Standard deviation

The correlation between the fund returns is 0.09.

You require that your portfolio yield an expected return of 13%, and that it be efficient, on the best feasible CAL.

e.

What is the standard deviation of your portfolio? (Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Standard deviation

%

f.	What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.Omit the "%" sign in your response.)

	Proportion Invested
T-bill fund		%
Stocks		%
Bonds		%