# A pension fund manager is considering three mutual funds. The first is a stock fund, the...

###### Question:

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 ylelds a sure rate of 5.3% . The probability distributions of the risky funds are: Standard Deviation Expeated Return Stock fund (S) Bond fund (B) 14 438 378 The correlation between the fund returns is .0459. Suppose now that your portfollo must yield an expected return of 12% and be efficient, that is, on the best feasible CAL a. What is the standard deviation of your portfolo? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b-1. What is the proportion invested in the T-billl 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.) Proportion Invested Stocks % Bonds %

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