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Part B. Numerical questions 2.B.1 A pension fund manager is considering a stock fund, a long-term bond fund, and a risk free government bond that yields 8%. The correlation between stock and bond funds is 0.10. Their expected return and standard deviation are as follows: Expected return 20% Standard deviation 30% Stock fund Bond fund 12% 15% a) Solve for the proportion of each asset and for the expected return and standard deviation of the optimal risky portfolio. b) What is the Sharpe ratio of the best feasible CAL? c) If you require that your portfolio yield an expected return of 14% and that it be efficient on the best feasible CAL i. what is the standard deviation of your portfolio? ii. what is the proportion invested in the risk-free government bond and each of the two risky funds