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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 6%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 16% 35% Bond fund (B) 12 15 The correlation between the fund returns is 0.13. 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. Enter your "Expected return" and "Standard deviation" answers as percentage rounded to 2 decimal places and remaining answers rounded to 4 decimal places.) Portfolio invested in the stock Portfolio invested in the bond Expected return % Standard deviation You estimate that a passive portfolio, for example, one invested in a risky portfolio that mimics the S&P/TSX Composite stock index, yields an expected rate of return of 15% with a standard deviation of 24%. You manage a risky portfolio with an expected rate of return of 22% and a standard deviation of 34%. The T-bill rate is 6%. Your client's degree of risk aversion is A = 1.7. a. If he chose to invest in the passive portfolio, what proportion, y, would he select? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Proportion of y 1% b. Is the fee (percentage of the investment in your fund, deducted at the end of the year) that you can charge to make the client indifferent between your fund and the passive strategy affected by his capital allocation decision (i.e., his choice of y)? (Do not round intermediate calculations. Round your answer to 1 decimal place.) Fee % per year