Question
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 5%. The characteristics of the risky funds are as follows:
The correlation between the fund returns is 0.15.
What is the Sharpe ratio of the optimal risky portfolio?
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Personal Finance
Authors: Jeff Madura
6th Edition
0134082915, 9780134082912
