$[$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 Standard Deviation

$16\%$

$34\%$

$25\%$

The correlation between the fund returns is $0\mathrm{.}11.$

Suppose now that your portfolio must yield an expected return of $13\%$ and be efficient, that is$,$ on the best feasible

CAL.

Required:

a$.$ What is the standard deviation of your portfolio? $($Do not round intermediate calculations. Round your answer to $2$

decimal places.$)$

Standard deviation

$\%$

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 T$-$bill fund

$\%$

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.$)$