6 A pension fund manager is considering three mutual funds T

6.) 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 5%. The probability distribution of the risky funds is as follows:

You require that your portfolio yield an expected return of 12%, and that it be efficient, on the best feasible CAL.

What is the standard deviation of your portfolio? (Round your answer to 2 decimal places. Omit the \"%\" sign in your response.)

What is the proportion invested in the T-bill fund and each of the two risky funds? (Round your answers to 2 decimal places.Omit the \"%\" sign in your response.)

Solution