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 sure rate of 5.5%. The probability distributions of
the risky funds are: The correlation between the fund returns is 0.15. What would be the investment proportions of
your portfolio if you were limited to only the stock and bond funds
and the portfolio has to yield an expected return of 12%? Calculate the standard deviation of the
portfolio which yields an expected return of 12%. Standard deviation
            %