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:

Stock fund $($S$)$

Expected

Bond fund $($B$)$

Return

Standard Deviation

$16\%$

$38\%$

$29\%$

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

Problem $6-11($Algo$)$

Suppose now that your portfolio must yield an expected return of $13\%$ and be efficient, that is$,$ on the best feasible CAL.

Required:

a$.$ What is the standard deviation of your portfolio?

Note: Do not round intermediate calculations. Round your answer to $2$ decimal places.

Standard deviation $$

b$-1.$ What is the proportion invested in the T$-$bill fund?

Note: Do not round intermediate calculations. Round your answer to $2$ decimal places.

Proportion invested in the T$-$bill fund $$

b$-2.$ What is the proportion invested in each of the two risky funds?

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

$\backslash$table$[[,$Proportion Invested$],[$Stocks$,\%$