A pension fund manager is considering three funds

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Reference no: EM13917770

A pension fund manager is considering three 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 fund that yields a sure rate of 3%. The probability distributions of the risky are:

Expected retire Standard deviation

Bond Fund 5% 8%

Stock Fund 10% 19%

The correlation between the fund retires is 0.2

1. What is the reward-to-volatility ratio of the best feasible CAL?

2. if a risk-averse investor can accept 5.3% return. What is his asset allocation?

Reference no: EM13917770

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