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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 4.6%. The probability distributions of the risky funds are:

Stock fund (s): expected return=16%, standard deviation=36%

Bond fund (B): expected return= 7% , standard deviation=30%

The correlation between the fund returns is .0800.

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 to intermediate calculations. Round your answer to two decimal places.)

b. What is the proportion invested in the Tbill fund? (do not round to intermediate calculations. Round your answer to two decimal places.)

c. What is the proportion invested in each of the two risky funds (stocks and bonds%)? (do not round to intermediate calculations. Round your answer to two decimal places.)