A pension fund manager is considering three 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 fund that yields a sure rate of 3%. The probability distributions of the risky are:

                Expected retire                 Standard deviation

Bond Fund          5%          8%

Stock Fund          10%        19%

The correlation between the fund retires is 0.2

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

2. if a risk-averse investor can accept 5.3% return. What is his asset allocation?