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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)	16%	32%
Bond fund (B)	10%	23%

The correlation between the fund returns is 0.10.

Required:

What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.)

Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.)

hat is the Sharpe ratio of the best feasible CAL (i.e., the optimal risky portfolio)? (Do not round intermediate calculations. Round your answer to 4 decimal places.)

Portfolio invested in the stock		%
Portfolio invested in the bond		%
Expected return		%
Standard deviation		%