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 5.3%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 14 % 43 % Bond fund (B) 7 % 37 % The correlation between the fund returns is .0459. Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL. a. What is the standard deviation of your portfolio? (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? (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? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Proportion Invested Stocks % Bonds %

    To perceive the party of influence to endue in hoard 1 that will result in the foolhardy portfolio with

    the utmost Sharpe kindred the forthcoming formula to indicate the gravity of claim in foolhardy portfolio should be used

    media%2Fa88%2Fa882b92f-ef53-4e40-a63c-b0
    Where
    Bond E[R(d)]= 7.00%
    Stock E[R(e)]= 14.00%
    Bond Stdev[R(d)]= 37.00%
    Stock Stdev[R(e)]= 43.00%
    Var[R(d)]= 0.1369
    Var[R(e)]= 0.1849
    T bil Rf= 5.30%
    Correl Corr(Re,Rd)= 0.0459
    Covar Cov(Re,Rd)= 0.0073
    Therefore W(*d)= 0.1755
    W(*e)=(1-W(*d))= 0.8245
    Expected render of foolhardy portfolio= 12.77%
    Foolhardy portfolio std adulteration = 36.34%
    media%2F011%2F011ca740-b6da-480a-801b-7d
    Desired render= 12%
    = tbill render*correlation endueed in tbill+foolhardy portfolio render *(1-return*correlation endueed in tbill)
    0.12=0.053*Correlation endueed in Tbill+0.1277*(1-Proportion invested in Tbill)
    Correlation endueed in Tbill (response b.1)= (0.1277-0.12)/(0.1277-0.053)
    =0.1
    correlation endueed in foolhardy portfolio = 1-*correlation endueed in tbill
    =0.9
    Correlation endueed in hoard capital (response b.2)=correlation endueed in foolhardy portfolio *gravity of hoard capital
    =0.74
    Correlation endueed in tie capital (response b.2)=correlation endueed in foolhardy portfolio *gravity of tie capital  
    =0.1579
    std adulteration of portfolio (response a) = std of foolhardy portfolio*proportion invested in foolhardy portfolio
    0.9*0.3634=32.71%