Question
Consider the following information: State of Probability of Rate of Return If State Occurs Economy State of Economy Stock A Stock B Stock C Boom
Consider the following information:
| State of | Probability of | Rate of Return If State Occurs | |||||||||||
| Economy | State of Economy | Stock A | Stock B | Stock C | |||||||||
| Boom | .15 | .350 | .450 | .330 | |||||||||
| Good | .45 | .120 | .100 | .170 | |||||||||
| Poor | .35 | .010 | .020 | .050 | |||||||||
| Bust | .05 | .110 | .250 | .090 | |||||||||
Your portfolio is invested 30 percent each in A and C and 40 percent in B. What is the expected return of the portfolio?
What is the variance of this portfolio?
What is the standard deviation of this portfolio?
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Foundations Of Financial Markets And Institutions
Authors: Frank J. Fabozzi, Franco Modigliani, Michael G. Ferri
2nd Edition
0136860567, 9780136860563
