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what is the standard deviation of your portfolio? what is the proportion invested in the t bill fund. stock fund 1 6 % 3 2

what is the standard deviation of your portfolio? what is the proportion invested in the t bill fund. stock fund 16%32%. bond fund 10%23%. the correlation between the fubnd return is 0.20
Section Break (8-11)
[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 5.5%. The probability
distributions of the risky funds are:
Stock fund (S)
Expected Return
Standard Deviation
Bond fund (B)
16%
32%
23%
The correlation between the fund returns is 0.20.
Problem 6-11(Algo)
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.)
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