What is the Sharpe ratio of the best feasible CAL? A pension fund manager is considering three

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What is the Sharpe 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 rate of 8%. The probability distribution of the risky funds is as follows:

............................Expected Return.............. Standard Deviation

Stock fund (S) .........................20% .................................30%

Bond fund (B).......................... 12 .....................................15

The correlation between the fund returns is .10.

Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most...
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Investments

ISBN: 978-0077861674

10th edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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