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[ The following Information applies to the questions displayed below. ] A pension fund manager is considering three mutual funds. The first is a stock

[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 ylelds a sure rate of 5.5%. The probability
distributions of the risky funds are:
The correlation between the fund returns is 0.11.
Suppose now that your portfolio must yleld an expected return of 13% and be efficlent, that Is, on the best feasible CAL.
Requlred:
a. What is the standard deviation of your portfolio? (Do not round Intermedlate calculations. Round your answer to 2 decimal
places.)
%
b-1. What is the proportion Invested in the T-bill fund? (Do not round Intermedlate calculations. Round your answer to 2 decimal
places.)
Proportion invested in the T-bill fund
%
b-2. What is the proportion Invested in each of the two risky funds? (Do not round Intermedlate calculations. Round your answers to
2 decimal places.)
USE EXCEL TO SOLVE THIS AND SHOW ALL EQUATIONS THANKS
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