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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 5.8%. The probability distributions of the risky funds are:

Expected Return Standard Deviation

Stock fund (S) 19% 48%

Bond fund (B) 9% 42%

The correlation between the fund returns is .0762.

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

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91608313

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