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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 $5\mathrm{.}5\%.$ The probability distributions of the risky funds are:

Expected Return Standard Deviation

Stock fund $($S$)17\%32\%$

Bond fund $($B$)11\%23\%$

The correlation between the fund returns is $0\mathrm{.}25.$

Problem $6-9($Algo$)$

Required:

Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio.

Note: Do not round intermediate calculations and round your final answers to $2$ decimal places.!

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 $5\mathrm{.}5\%.$ The probability

distributions of the risky funds are:

The correlation between the fund returns is $0\mathrm{.}25.$

Problem $6-9($Algo$)$

Required:

Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio.

Note: Do not round intermediate calculations and round your final answers to $2$ decimal places.