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7) There are three states of economy and you are given the following probabilities and returns for each stock for each state of economy. You
7) There are three states of economy and you are given the following probabilities and returns for each stock for each state of economy. You invest 65% in stock X and 35% in stock Y. The betas for each stock are also given belovw Probability of State of Economy 25% 50% 25% State of Returns if State Occurs Economy Stock X 20% 10% 5% StockY Boom Normal Recession 18% 3% 3% Stock Portfolio Weights Beta 1.05 0.70 65% 35% a. Calculate the expected return of the portfolio b. Calculate the standard deviation of the portfolio c. Calculate the beta of the portfolio d. Is the systemic risk of the portfolio is more or less than the market
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