Please answer in full. Please show how you obtained your answer by providing a s

Question

Please answer in full. Please show how you obtained your answer by providing a step by step way of getting there. Please bold your answer and please follow the directions for rounding purposes as well. Thanks in advance.

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) Bond fund (B) 21% 12 28% 18 The correlation between the fund retums is 0.09. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation

Explanation / Answer

1) Portfolio invested in the stock is 0.27

2). portfolio invested in bound is 0.34

3). Expected teturns is 0.020333

4). sdandard deviation is 0.79

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