A pension fund manager is considering three mutual funds. The first is a stock fund, the second
Fantastic news! We've Found the answer you've been seeking!
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, and the third is a T-bill money market fund that yields a sure rate of 5.4%. The probability distributions of the risky funds are:
Expected Return Standard Deviation
Stock fund (S)1 5% 44%
Bond fund (B) 8% 38%
The correlation between the fund returns is 0.0684.
What is the Sharpe ratio of the best feasible CAL?(Do not round intermediate calculations. Round your answer to 4 decimal places.)
Sharpe Ratio =
Posted Date: