Question
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,
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:
| Expected Return | Standard Deviation | |
|---|---|---|
| Stock fund (S) | 17% | 32% |
| Bond fund (B) | 11% | 23% |
The correlation between the fund returns is 0.25.
Required:
What is the Sharpe ratio of the best feasible CAL?
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Enron And World Finance A Case Study In Ethics
Authors: P. Dembinski, C. Lager, A. Cornford, J. Bonvin
1st Edition
1403947635, 978-1403947635
