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 sure rate of 5.5%. The correlation between the funds returns us 0.25 . The optimal risky portfolio for stock fund is 40,94% of the risky portfolio. The probability distributions of the risky funds are: 1. what are the expected return and standard deviation of the optimal risky portfolio? The mean and standard deviation of the optimal risky portfolio are: E(r=wBE(rB)WSE(rS)=(0.409411)+(0.590617)=14.543SD(r)=[WS2S2+wB2B2+2WSwBCov(rSrB)]1/2=[(0.59062322)+(0.40942232)+(20.59060.4094184.0)]1/2=23.13. 2. What are the expected return and standard deviation of whole portfolio is the expected return for the whole portfolio must be 10% ? 10%=Y14.54%+(1Y)5.5%,Y=? Standard Deviation: Y23.13%=