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What is the sharpe ratio of the best feasible CAL? Round to 4 decimal places A pension fund manager is considering three mutual funds. His
What is the sharpe ratio of the best feasible CAL? Round to 4 decimal places
A pension fund manager is considering three mutual funds. His first is a stock fund, his second is a long-term government and corporate bond fund, and his 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) 15% 36%
Bond fund (B) 9% 27%
0.15 is the correlation between the fund returns.
Sharpe ratio ? %
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