The following data apply to Problems 20 22. 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 5.4%. The probability distributions of the risky funds are:

	Expected Return	Standard Deviation
Stock fund (S)	15%	44%
Bond fund (B)	8%	38%

The correlation between the fund returns is .0684. Suppose now that your portfolio must yield an expected return of 13% and be efficient, that is, on the best feasible CAL. What is the standard deviation of your portfolio?Question 20 options:

A)

30.72%

B)

33.83%

C)

29.90%

D)

31.17%

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Question 21 (5.5 points)

What is the proportion invested in the T-bill fund?

Question 21 options:

A)

3.56%

B)

6.78%

C)

7.12%

D)

5.31%