Question
Jermy is considering two securities, X and Z, and the information is given below: State of economy Probability Return on Security X (%) Return on
Jermy is considering two securities, X and Z, and the information is given below:
| State of economy | Probability | Return on Security X (%) | Return on Security Z (%) |
| Bear | 0.1 | 4 | 5.6 |
| Bull | 1-0.1 | 12 | 5.6 |
Suppose Jermy Invested $3,679 in Security X and $1,776 in Security Z. Calculate the standard deviation of his portfolio. Report your answer in decimal form, rounded to 4 decimal points.
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Private Funds Where And How
Authors: Dechert LLP
2018 Edition
152650300X,1526503018
