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Business, 06.03.2020 03:44 shakira11harvey6

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 6%. the probability distribution of the risky funds is as follows: expected return standard deviation stock fund (s) 21 % 28 % bond fund (b) 12 18 the correlation between the fund returns is 0.09. you require that your portfolio yield an expected return of 13%, and that it be efficient, on the best 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 t-bill fund and each of the two risky funds? (round your answers to 2 decimal places.

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