Problem 6-11 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 risk funds are: Stock fund (S) Bond fund (8) Expected Return 15% 9% Standard Deviation 32% 23% The correlation between the fund returns is 0.15 Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL a. What is the standard deviation of your portfolio? (Do not round intermediate calculations, Round your answer 2 decimal places.) Standard deviation 23.34% b-1. What is the proportion invested in the T-bill fund? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Proportion invested in the Tobilfund b.2. What is the proportion invested in each of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Stocks Bonds Proportion Invested 64.66% 35 34%