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Required information

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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 risk$-$free rate of $5\mathrm{.}5\%.$ The probability

distributions of the risky funds are:

The correlation between the fund returns is $0\mathrm{.}10.$

$[$YOU SHOULD USE EXCEL TO CHECK YOUR CALCULATIONS$]$

Required:

Compute the proportions of stock fund and bond fund of the optimal risky portfolio, and calculate the expected return and standard

deviation of the optimal risky portfolio. Assume that short sales of mutual funds are allowed. $($Do not round intermediate calculations.

Enter your answer as a percentage rounded to two decimal places.$)$