[ The following information applies to the questions displayed below. ] A pension fund manager is considering
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A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a longterm government and corporate bond fund, and the third is a Tbill money market fund that yields a sure rate of The probability distributions of the risky funds are:
Expected Return Standard Deviation
Stock fund S
Bond fund B
The correlation between the fund returns is
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Required:
What is the Sharpe ratio of the best feasible CAL?
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