Question
Consider the following two stocks. Probabilities ( pi pi ) Stock A Stock B Recession p1= p1= 22% -6% 5% Normal p2= p2= 20% 9%
Consider the following two stocks.
| Probabilities (pipi ) | Stock "A" | Stock "B" | |
| Recession | p1=p1= 22% | -6% | 5% |
| Normal | p2=p2= 20% | 9% | -13% |
| Boom | p3=p3= 58% | 10% | 20% |
The portfolio weights for stocks "A" and "B" are 0.35 and 0.65, respectively.
Expected returns of stock "A" and "B" are 6.28% and 10.1% respectively.
What are the standard deviations of stocks "A" and "B"?
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Options Trading Option Trading Strategies For Beginners
Authors: Alan Richards
1st Edition
153274479X, 978-1532744792
