What is the Sharpe ratio of the best feasible CAL

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Reference no: EM131977520

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 rate of 7%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 18% 35% Bond fund (B) 15 20 The correlation between the fund returns is 0.12. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Sharpe ratio ?

Reference no: EM131977520

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