A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a bond fund, and the third is a T-bill fund that yields a sure rate of 5.5%. The return distributions of the risky funds are:

Asset information

	Expected Standard Return Deviation
Stock fund (S)	16% 36%
Bond fund (B)	10% 27%

The optimal risky portfolio (Portfolio O) on the feasible Capital Allocation Line (Tangent line) has 36% on B and 64% on S. If the manager plans to acquire 11% return on investment, how much (in %) she must invest on riskless asset? (Example in the class and quizizz)

• 34%
• 36%
• 64%
• 66%
• 0%