A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and thethird is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows:Expected ReturnStandard Deviation20%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 0.30200.53450.22820.17220.4231None of the above

Sharpe ratio is the ratio that measures the excess return of a portfolio over risk free rate of…

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 Business Analytics (MindTap Course List)

2nd Edition

ISBN:9781305627734

Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Chapter5: Probability: An Introduction To Modeling Uncertainty

Section: Chapter Questions

Problem 30P: Suppose that the return for a particular large-cap stock fund is normally distributed with a mean of...

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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 6%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 21% 12 Standard Deviation 28% 18 The correlation between the fund returns is 0.09. Sharpe ratio What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places.)
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 7%. The characteristics of the risky funds are as follows: Expected Return 16% 12 Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.12. Sharpe ratio Standard Deviation What is the Sharpe ratio of the best feasible CAL? Note: Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places. 0.7004 38% 21
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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 9%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock fund (S) 17 % 30 % Bond fund (B) 11 22 The correlation between the fund returns is 0.10. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.)
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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 5%. The characteristics of the risky funds are as follows: Stock fund (5) Bond fund (D) Expected Return Standard deviation 30% 16 22% 12 The correlation between the fund returns is 0.10. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places) Answer is complete but not entirely correct. Sharpe ratio 0.1679 €