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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 4.3%. The probability distributions ofthe risky funds are:

   

Expected ReturnStandard 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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