A pension fund manager is considering three mutual funds. The
first is a stock fund, the...
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Finance
A pension fund manager is considering three mutual funds. Thefirst is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fundthat yields a sure rate of 4.3%. The probability distributions ofthe risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
13%
34%
Bond fund (B)
6%
27%
The correlation between the fund returns is .0630.
What is the reward-to-volatility ratio of the best feasible CAL?(Do not round intermediate calculations. Round your answerto 4 decimal places.)
Reward-to-volatility ratio
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