A pension fund manager is considering three mutual funds. The first is an equity fund with an expected return of 0.24 and a standard deviation of 0.32. The second is a long-term government and corporate bond fund with an expected return of 0.15 and a standard deviation of 0.15. The third is a T-bill money market fund that yields a rate of 0.09. The covariance between the stock and debt funds returns is 45.

What is the proportion of optimal risky portfolio invested in the equity fund?

Answer for part 1

What is the proportion of optimal risky portfolio invested in the debt fund?

Answer for part 2

What is the expected return of the optimal risky portfolio?

Answer for part 3

What is the standard deviation of the optimal risky portfolio?

Answer for part 4

What is the reward-to-volatility ratio of the optimal CAL?

Answer and unit for part 5