09 (12 marks). 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 4.8%. The probability distribution of the risky funds are: Expected return Standard deviation Stock Fund (S) 18% 38% Bind Fund (B) 32 The correlation between the fund returns is 0.13. Suppose now that your portfolio 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 portfolio? (b) What is the proportion invested in the T-bill fund and each of the two risky funds? If you were to use only the two risky funds and still require an expected return of 12%, what would be the investment proportions of your portfolio? (d) Compare the standard deviation of the portfolio in (c) to that of the optimal portfolio in (a). What do you conclude