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Consider the information for assets A, B and C below State Probability Return on A Return on B Return on C Boom 0.2 0.3 0.05
Consider the information for assets A, B and C below
State | Probability | Return on A | Return on B | Return on C |
Boom | 0.2 | 0.3 | 0.05 | 0.1 |
Average | 0.4 | 0.2 | 0.15 | 0.25 |
Bust | 0.4 | 0.1 | 0.2 | 0.3 |
1.Find the mean of Asset A, the mean of Asset C , the standard deviation of Asset A, the standard deviation of Asset C, and the covariance of assets A and C. (each part is worth 5 points).
2.Consider Portfolio (Y) comprising 60 % Asset A and 40% Asset C. What is the variance of portfolio Y?
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