ENOLOGVIS 915 noitsived bussid muga benaqxa 1012 The following data apply to problems 3-7 ROL 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 probability distributions of the risky funds are: Expected Return Standard Deviation 1519an die word of aldiz2002 azoqqu2 pitoloq olah satunog tuodsi H) 59161 Stock fund (s) 15% 32% Bond fund (B) 9 23 The correlation between the fund returns is.15. 6. Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL. (LO 6-4) a. What is the standard deviation of your portfolio? b. What is the proportion invested in the T-bill fund and each of the two risky funds? 7. If you were to use only the two risky funds and still require an expected return of 12%, what would be the investment proportions of your portfolio? Compare its standard deviation to that of the optima portfolio in the previous problem. What do you conclude? (LO 6-4)