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 $5\%.$ The characteristics of the risky funds are as follows:

The correlation between the fund returns is $0\mathrm{.}12.$

You require that your portfolio yield an expected return of $12\%,$ and that it be efficient, that is$,$ on the steepest feasible CAL.

Required:

a$.$ What is the standard deviation of your portfolio?

b$.$ What is the proportion invested in the money market fund and each of the two risky funds?

Complete this question by entering your answers in the tabs below.

What is the standard deviation of your portfolio?

Note: Round your answer to $2$ decimal places.