The following information applies to the questions displayed below.$]$

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 $5\mathrm{.}5\%.$ The probability distributions of the risky funds are:

Stock fund

$($S$)$

Bond fund $($B$)$

Expected Return

$16\%$

$10\%$

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

Standard Deviation

$36\%$

$27\%$

Required:

Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio.

Portfolio invested in the stock Portfolio invested in the bond

Expected return

Standard$$deviation

$\%$

$\%$