What is the standard deviattion of your portfolio

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A pension fund manager isconsidering three mutual funds. The first is a stock fund, the second is a long-termgovernment and corporate bond fund, and the third is a T-bill money market fund thatyields a rate of 8%. The probability distribution of the risky funds is as follows:

Stock Fund (S) E(r)20% σ30%

Bond Fund (B) E(r)12% σ15%

the correlation between the fund return is .10

You require that your portfolio yield an expected return of 14%, and that it be efficient, on the best feasible CAL

1- what is the standard deviattion of your portfolio?

2- what is the proportion invested in the T-bill fund and each of the two risky funds?

Reference no: EM131309736

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