A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term governmen
Posted: Sun May 29, 2022 6:09 pm
A pension fund manager is considering three mutual funds. The
first is a stock fund, the second is a long-term government and
corporate bond fund, and the third is a T-bill money market fund
that yields a sure rate of 5.5%. The probability distributions of
the risky funds are:
The correlation between the fund returns is 0.25.
Required:
What is the Sharpe ratio of the best feasible
CAL? (Do not round intermediate calculations. Round
your answer to 4 decimal places.)
Shape Ratio:
first is a stock fund, the second is a long-term government and
corporate bond fund, and the third is a T-bill money market fund
that yields a sure rate of 5.5%. The probability distributions of
the risky funds are:
The correlation between the fund returns is 0.25.
Required:
What is the Sharpe ratio of the best feasible
CAL? (Do not round intermediate calculations. Round
your answer to 4 decimal places.)
Shape Ratio: