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 4.9%. The probability distributions ofthe risky funds are:
Expected Return Standard Deviation
Stock fund (S) 10% 39%
Bond fund (B) 5% 33%

The correlation between the fund returns is 0.0030.
What is the Sharpe ratio of the best feasible CAL? (Donot round intermediate calculations. Round your answer to 4 decimalplaces.)

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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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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 4.9%. The probability distributions ofthe risky funds are:Expected ReturnStandard DeviationStock fund (S)10%39%Bond fund (B)5%33%The correlation between the fund returns is 0.0030.What is the Sharpe ratio of the best feasible CAL? (Donot round intermediate calculations. Round your answer to 4 decimalplaces.)

	Expected Return	Standard Deviation
Stock fund (S)	10%	39%
Bond fund (B)	5%	33%