Consider the following information:

Invest 10% of your money in Asset A, 50% in Asset B, and 40% in Asset C:

StateProbabilityABC

Boom0.450%40%30%

Bust0.6-20%10%5%

1. What is the expected return and standard deviation for each asset?

Expected return for asset A is

Expected return for asset B is

Expected return for asset C is

Standard deviationfor asset A is

Standard deviationfor asset B is

Standard deviationfor asset C is

2. What is the expected return and standard deviation for the portfolio?

Expected return for the portfolio is

Standard deviation for the portfolio is

3. Based on the information above, assume the beta for each assets A, B, and C is0.2, 1.8, and3.5

What is the portfolio beta ?

4. Which asset has highest systematic risk ?

5. Which asset has highest total risk?