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third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock Fund (S) Bond Fund (B) 20% 10% 40% 20% The correlation between the fund returns is 0.15. What is the Sharpe ratio of the complete portfolio with 30% invested in optimal risky portfolio and 70% invested in risk-free asset? O 0.3020 0.5345 0.2282 0.1722 0.4231 None of the above

third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock Fund (S) Bond Fund (B) 20% 10% 40% 20% The correlation between the fund returns is 0.15. What is the Sharpe ratio of the complete portfolio with 30% invested in optimal risky portfolio and 70% invested in risk-free asset? O 0.3020 0.5345 0.2282 0.1722 0.4231 None of the above

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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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 bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation 20% 10% Stock Fund (S) Bond Fund (B) 40% 20% The correlation between the fund returns is 0.15. What is the Sharpe ratio of the complete portfolio with 30% invested in optimal risky portfolio and 70% invested in risk-free asset? O 0.3020 0.5345 0.2282 0.1722 0.4231 None of the above
Transcribed Image Text:A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation 20% 10% Stock Fund (S) Bond Fund (B) 40% 20% The correlation between the fund returns is 0.15. What is the Sharpe ratio of the complete portfolio with 30% invested in optimal risky portfolio and 70% invested in risk-free asset? O 0.3020 0.5345 0.2282 0.1722 0.4231 None of the above
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