Expected return Standard Deviation

Stock fund (s) 20% 30%

Bond Fund (B) 12% 15%

THE CORRECTION BETWEEN THE FUND RETURNS IS .10

If you were to use only the two risky funds, and still require an expected return of 14%, what would be the investment proportions of your portfolio? Compare its standard deviation to that of the optimized portfolio in Problem 9. What do you conclude?

(Question 9) You require that your portfolio yield an expected return of 14%, and that it be efficient, on the best feasible CAL.

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?