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Business, 05.05.2020 06:07 shouyuanroh3685

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 4%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 17 % 35 % Bond fund (B) 14 18 The correlation between the fund returns is 0.09. You require that your portfolio yield an expected return of 14%, 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

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