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Required information Section Break (8-11) [The following information applies to the questions displayed below) 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 (5) Bond fund (8) Expected Return 17% 11% Standard Deviation 32% 23% The correlation between the fund returns is 0.30 Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 14% and be efficient, that is, on the best feasible CAL Required: a. What is the standard deviation of your portfolio? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Standard deviation 22.09% 95F Pa E Required information 4 b-1. What is the proportion invested in the T-bill fund? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) OOK Proportion invested in the T-bil fund erences 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 Investod Stocks Bonds Ac Sraw Hill 95F Partly sunny O ED RI Required information Section Break (8-11) [The following information applies to the questions displayed below) 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 (5) Bond fund (8) Expected Return 17% 11% Standard Deviation 32% 23% The correlation between the fund returns is 0.30 Problem 6-11 (Algo) Suppose now that your portfolio must yield an expected return of 14% and be efficient, that is, on the best feasible CAL Required: a. What is the standard deviation of your portfolio? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Standard deviation 22.09% 95F Pa E Required information 4 b-1. What is the proportion invested in the T-bill fund? (Do not round Intermediate calculations. Round your answer to 2 decimal places.) OOK Proportion invested in the T-bil fund erences 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 Investod Stocks Bonds Ac Sraw Hill 95F Partly sunny O ED RI