am Part I

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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 4.5%. The probability distribution of the risky

funds is as follows:

Stock fund (5)

Bond fund (B)

Expected Return

15%

6

Standard Deviation

35%

29

The correlation between the fund returns is 015.

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 and round your final answers to 2 decimal places. Omit the "%" sign in your

response.)

Portfolio invested in the stock

Portfolio invested in the bond

Expected return

Standard deviation

1%

%

cam Part 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 tund, and the third is a T-bill money market fund that yields a tate of 45% The probability distribution of the risky funds is as follows: Stock fund (5) Fond Fund (8) Expected Return 15% 6 Standard deviation 351 29 The correlation between the fund returns is 0.15 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 and round your final answers to 2 decimal places. Omit the "%" sign in your response.) 96 Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation 9 96 cam Part 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 tund, and the third is a T-bill money market fund that yields a tate of 45% The probability distribution of the risky funds is as follows: Stock fund (5) Fond Fund (8) Expected Return 15% 6 Standard deviation 351 29 The correlation between the fund returns is 0.15 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 and round your final answers to 2 decimal places. Omit the "%" sign in your response.) 96 Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation 9 96