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

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Accounting

A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 6%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock fund (S) 16 % 35 % Bond fund (B) 12 15 The correlation between the fund returns is 0.13. You require that your portfolio yield an expected return of 11%, and that it be efficient, that is, on the steepest feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) b. What is the proportion invested in the money market fund and each of the two risky funds? (Round your answers to 2 decimal places.)

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