HW G Saved O You skipped this question in the previous attempt. 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 5%. The probability distribution of the risky funds is as follows: Expected Return 20% Stock fund (S) Bond fund (B) Standard Deviation 35% 15 11 The correlation between the fund returns is 0.09. You require that your portfolio yield an expected return of 12%, and that it be efficient, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) Standard deviation b. What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.) Proportion Invested T-bill fund Stocks Bonds