Problem 2 The information about rate of returns of 3 stocks (SSI. HAG and R:E) and the market index (Vnindex) in three states of the economy are as follows: State of the Prob economy Recession Average Boom 0.25 0.45 0.3 REE 9.2 15.4 21.5 Returns (%) SSI 10.4 17.3 26.2 HAG 8.4 19.8 29.6 Vninde 15.2 18.5 27.8 1. Calculate the expected rate of returns and variance of SSI. HAG. REE 2. Calculate the expected rate of returns and the standard deviation of -Portfolio A: 20% invested in REE, 45% invested in SSL and 35% invested in HAG Portfolio B: 30% invested in REE, 55% invested in SSI, and 15% invested in HAG 3. Establish the The Variance-Covariance Matrix of Portfolio A 4. Which portfolio is riskier? (A or B). Why? 5. Calculate the beta of SSI. HAG. REE