Required information

$[$The following information applies to the questions displayed below.$]$

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 $5\mathrm{.}5\%.$ The probability

distributions of the risky funds are:

The correlation between the fund returns is $0\mathrm{.}25.$

Required:

What is the expected return and standard deviation for the minimum$-$variance portfolio of the two risky funds? $($Do not round

intermediate calculations. Round your answers to $2$ decimal places.$)$

Expected Return Correct, Standard

Deviation Incorrect

Required:

Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky

portfolio. $($Do not round intermediate calculations and round your final answers to $2$ decimal places.$)$

Required:

What is the Sharpe ratio of the best feasible CAL? $($Do not round intermediate calculations. Round your answer to $4$ decimal places.$)$