11. 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 5.5%. The probability distribution of the risky funds is as follows: Standard Expected Return Deviation 15% 32% 9 23 Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.15. c) What would be the investment proportions and the standard deviation of the portfolio which yields an expected return of 12% if you were limited to only the stock and bond funds? Answer: Proportion in Stock Fund is proportion in Bond Fund is Expected Return is and standard deviation is d) What would be the investment proportions and the standard deviation of the portfolio which yields an expected return of 12% if you could invest in all three funds? Answer: Proportion in Stock Fund is proportion in Bond Fund is Expected Return is and standard deviation is 11. 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 5.5%. The probability distribution of the risky funds is as follows: Standard Expected Return Deviation 15% 32% 9 23 Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.15. c) What would be the investment proportions and the standard deviation of the portfolio which yields an expected return of 12% if you were limited to only the stock and bond funds? Answer: Proportion in Stock Fund is proportion in Bond Fund is Expected Return is and standard deviation is d) What would be the investment proportions and the standard deviation of the portfolio which yields an expected return of 12% if you could invest in all three funds? Answer: Proportion in Stock Fund is proportion in Bond Fund is Expected Return is and standard deviation is