Question: 2. value 13.33 points A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government

2. value 13.33 points A pension fund manager is considering three

2. value 13.33 points 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: Stock fund (S) Bond fund (B) Expected Return 16 % 7 % Standard Deviation 45 % 39 % The correlation between the fund returns is .0385. Suppose now that your portfolio must yield an expected return of 14% and be efficient, that is, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation % b-1. What is the proportion invested in the T-bill 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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