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:

Expected Return Standard Deviation

Stock fund $($S$)20\%35\%$

Bond fund $($B$)1115$

The correlation between the fund returns is $0\mathrm{.}09.$

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

Required:

What is the standard deviation of your portfolio?

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