Calculate the standard deviation of the portfolio

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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 on stock fund 15%

Standard Deviation on Stock fund 32%

Expected Return on Bond fund 9%

Standard Deviation on Bond fund 23%

The correlation between the fund returns is 0.15.

Calculate the standard deviation of the portfolio which yields an expected return of 12%. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Reference no: EM132644726

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