Question
Consider the following information State of Economy Probability of State of Economy Rate of Return If State Occurs Stock A Rate Of Return If Sate
Consider the following information
| State of Economy | Probability of State of Economy | Rate of Return If State Occurs Stock A | Rate Of Return If Sate Occurs Stock B | Rate of Return If State Occurs Stock C |
| Boom | .25 | .37 | .47 | .27 |
| Good | .50 | .21 | .18 | .12 |
| Poor | .20 | -.05 | -.08 | -.05 |
| Bust | .05 | -.15 | -.33 | -.10 |
Your Portfolio is invested 25 percent each in A and C, and 50% in B. What is the expected return of the portfolio?
What is the variance of this portfolio?
What is the standard deviation?
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Stochastic Filtering With Applications In Finance
Authors: Bhar Ramaprasad
1st Edition
9814304859, 9789814304856
