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

The correlation between the fund returns is $0\mathrm{.}20.$

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.