Problem:
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a corporate bond fund, adn 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) 15 32 Bond fund (B) 9 23 The correlation between the fund returns is 0.15.
Required
Question: What is the Sharpe ratio for the best feasible CAL?
Note: Please show basic calculation