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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 4.0%. The probability distributions ofthe risky funds are:

    

Expected ReturnStandard Deviation
   Stock fund (S)10%        32%         
   Bond fund (B)7%        24%         

    

The correlation between the fund returns is .1250.

    

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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