What is the reward-to-volatility ratio of the best feasible CAL? A pension fund manager is considering three

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What is the reward-to-volatility ratio of the best feasible CAL?

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:

What is the reward-to-volatility ratio of the best feasible CAL?
A

The correlation between the fund returns is .15.

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Related Book For  book-img-for-question

Essentials of Investments

ISBN: 978-0078034695

9th edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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