A pension fund manager is considering three mutual funds. The first is a stock fund, the long-term government and corporate bond fund, and the third is a T-bill rate of 4.6%. The probability...

Extracted text: A pension fund manager is considering three mutual funds. The first is a stock fund, the long-term government and corporate bond fund, and the third is a T-bill rate of 4.6%. The probability distribution of the two second is a money market fund that yields a risky funds is as follows: Expected Return Standard Deviation Stock fund (S Bond fund (B 36% 30% 16% 7% The correlation between the two fund returns is 0.16. Compute the proportions of stock fund and bond fund of the optimal risky portfolio, and calculate the expected return and standard deviation of the optimal risky portfolio. Assume that short sales of mutual funds are allowed. (Do not round intermediate calculations. Enter your answer as a percentage rounded to two decimal places.) Proportion invested in the stock fund % Proportion invested in the bond fund % Expected return Standard deviation