Required information

Section Break $(8-11)$

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

distributions of the risky funds are:

The correlation between the fund returns is $0\mathrm{.}20.$

Problem $6-9($Algo$)$

Required:

Solve numerically for the proportions of each asset and for the expected return and standard

deviation of the optimal risky portfolio. $($Do not round intermediate calculations and round your

final answers to $2$ decimal places.$)$

Required:

What is the Sharpe ratio of the best feasible CAL? $($Do not round intermediate calculations. Round your answer to $4$ decimal places.$)$

Sharpe Ratio: