Required Information $!$

Required Information

$[$The following Information applles to the questions displayed below.$]$

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 ylelds a sure rate of $5\mathrm{.}5\%.$ The probability

distributions of the risky funds are:

The correlation between the fund returns is $0\mathrm{.}15.$

Required:

What is the Sharpe ratio of the best feas$$ble CAL?

Note: Do not round Intermedlate calculations. Round your answer to $4$ decimal places. $!$

Required Information

$[$The following information applles to the questions displayed below.$]$

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 ylelds a sure rate of $5\mathrm{.}5\%.$ The probability

distributions of the risky funds are:

The correlation between the fund returns is $0\mathrm{.}15.$

Suppose now that your portfolio must yleld an expected return of $14\%$ and be efficlent, that is$,$ on the best feasible CAL.

Required:

a$.$ What is the standard deviation of your portfolio?

Note: Do not round Intermedlate calculations. Round your answer to $2$ decimal places.

$[$The following information applies to the questions displayed below.$]$

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 ylelds a sure rate of $5\mathrm{.}5\%.$ The probability

distributions of the risky funds are:

The correlation between the fund returns is $0\mathrm{.}15.$

Required:

Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio.

Note: Do not round Intermediate calculations and round your final answers to $2$ decimal places.