What is the standard deviation of the optimal risky portfolio?

9.77%

24.57%

12.79%

19.21%

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 risk-free T-bill money market fund that yields a rate of 9%. The probability distribution of the risky funds is as follows: Stock fund (S) Bond fund (B) Expected Return 22% 13% Standard Deviation 32% 23% The correlation between the fund returns is .15. The proportions of each fund in the optimal risky portfolio are Ws = .7075 and WB = 2925