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Required information Section Break ( 8 - 1 1 ) Skip to question [ The following information applies to the questions displayed below. ] A

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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 sure rate of 5.5%. The probability distributions of the risky funds are:
Expected Return Standard Deviation
Stock fund (S)17%32%
Bond fund (B)11%23%
The correlation between the fund returns is 0.25.
Problem 6-9(Algo)
Required:
Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio.
Note: Do not round intermediate calculations and round your final answers to 2 decimal places.

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