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 5.5%. The probability distributions ofthe risky funds are:

Expected Return Standard Deviation
   Stock fund (S) 16%         45%
   Bond fund (B) 7%         39%

The correlation between the fund returns is .0385.

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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To find the fraction of wealth to invest in Stock Fund that willresult in the risky portfolio with maximum Sharpe ratio thefollowing formula See Answer

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	Expected Return	Standard Deviation
Stock fund (S)	16%	45%
Bond fund (B)	7%	39%