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A pension fund manager is considering three mutual funds. The first is a stock fund,...

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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 5,5% The correlation between the stock and bond fund returns is 0.15. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock Fund (S) 15% 32% Bond Fund ( B9% 23% What would be the investment proportions of your portfolio if you were limited to only the stock and bond funds and the portfolio has to yield an expected return of 12%? 100% in S: 0% in B 77% in S. 23% in B 32% in S, 68% in 50% in S: 50% in B

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