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...

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 8%. The probability distribution
of the risky funds is as follows:

The correlation between the fund returns is .10.
Draw a tangent from the risk-free rate to the opportunity set. What does your graph show for the expected return and standard deviation of the optimal portfolio?