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Problem 6-10 A pension fund manager is considering three mutual funds. The first is a stock...
Problem 6-10
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 3.0%. The probability distributions of the risky funds are:
| Expected Return | Standard Deviation | |
| Stock fund (S) | 12% | 41% |
| Bond fund (B) | 5% | 30% |
The correlation between the fund returns is 0.0667.
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.)
Sharpe Ratio:_______
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jeff jeffy answered 1 year agoRelated Solutions
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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 5.5%. The probability distributions of
the risky funds are:
Expected Return
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Bond fund (B)
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A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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 5.5%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
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45%
Bond fund (B)
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The correlation between the fund returns is 0.0385.
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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 4.7%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
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Bond fund (B)
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The correlation between the fund returns is 0.1065.
What is the Sharpe ratio of the best feasible...
A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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 8%. The probability distribution of the risky
funds is as follows:
Expected Return
Standard Deviation
Stock fund (S)
17
%
30
%
Bond fund (B)
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The correlation between the fund returns is 0.10.
a-1. What are the investment proportions...
A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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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 0.0762.
What is the Sharpe ratio of the best feasible...
A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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that yields a sure rate of 4.1%. The probability distributions of
the risky funds are:
Expected Return
Standard Deviation
Stock fund (S)
11
%
33
%
Bond fund (B)
8
%
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The correlation between the fund returns is .1560.
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Expected Return
Standard Deviation
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Bond fund (B)
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first is a stock fund, the second is a long-term government and
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Expected Return
Standard Deviation
Stock fund (S)
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40%
Bond fund (B)
6%
20%
The correlation between the fund returns is 0.0500.
What is the Sharpe ratio of the best feasible...
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