Question: You require that your portfolio yield an expected return of 14%, and that it be efficient, on the best feasible CAL. a. What is the

You require that your portfolio yield an expected return of 14%, and that it be efficient, on the best feasible CAL.

a. What is the standard deviation of your portfolio?

b. What is the proportion invested in the T-bill fund and each of the two risky funds?

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 rate of 8%. The probability distribution of the risky funds is as follows:

The correlation between the fund returns is.10.

Expected Return Standard Deviation 30% 15 Stock fund (S) Bond fund (B) 20% 12

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