1. Calculate the expected return of portfolio and standard deviation of portfolio of 3 Assets (Security B, C, and E) (Hints: Assume that weights of B, C, and E are, respectively)?

Prob.

Security A

Security B

Security C

Security D

Security E

Recession

0.1

3.0%

-29.5%

24.5%

3.5%

-19.5%

Below avg.

0.2

3.0%

-9.5%

10.5%

-16.5%

-5.5%

Average

0.4

3.0%

12.5%

-1.0%

0.5%

7.5%

Above avg.

0.2

3.0%

27.5%

-5.0%

38.5%

22.5%

Boom

0.1

3.0%

42.5%

-20.0%

23.5%

35.5%