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Show all work. Clearly indicate final answers. 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 Rf. The probability distributions of the risky funds are: 1. Standard Deviation Stock Fund (S) Bond Fund (B) Expected Return ERs ERB The correlation between the fund returns is psB. a. What are the proportions of the stock and bond funds in the optimal risky portfolio (i.e the tangent portfolio)? What is the expected return and standard deviation of the optimal risky portfolio? What is the Sharpe ratio of the best feasible capital allocation line (CAL)? Suppose now that your portfolio must yield an expected return of 10% and be efficient, that is, on the best feasible CAL. What is the standard deviation of your portfolio? What is the proportion invested in the T-bill fund and each of the two risky funds? b. c