Question: 6. value: 10.00 points A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term goverment

6. value: 10.00 points A pension fund manager is considering three

6. value: 10.00 points A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term goverment and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.6%. The probability distributions of the risky funds are: Stock fund (S) Bond fund (B) Expected Retum 17 % B % Standard Deviation 46% 40 % The correlation between the fund returns is .0600. Suppose now that your portfolio must yield an expected return of 15% 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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