The T-bill fund and each of the two risky funds

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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 rate of 5%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 17 % 30 % Bond fund (B) 11 22 The correlation between the fund returns is 0.10. You require that your portfolio yield an expected return of 14%, and that it be efficient, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places. Omit the "%" sign in your response.) Standard deviation % b. What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.Omit the "%" sign in your response.) Proportion Invested T-bill fund % Stocks % Bonds %

Reference no: EM131977626

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