Question 14 3 Points An investment bank is constructing a portfolio containing two types of stocks related to two companies listed on the Shenzhen Stock Exchange: Sino Great Wall Co Itd. (SGW) from the Construction industry and Zhuhai Port Co Itd. (ZPH) from the Transportation industry. The table below provides the expected annua returns and corresponding probabilities with respect to different states of the economy SGW Probability ZPH Probability Return Return State of the economy Recession Recovery Expansion Boom -6% 2% 8% 14% 0.1 0.4 0.3 0.2 -8% 3% 9% 16% 0.1 0.4 0.3 0.2 The expected returns of SGW and ZPH are, respectively: A) 4.3% and 7.8% B 4.5% and 7.3% 2.2% and 5.4% -5.4% and 3.6% E 5.4% and 6.3% Question 15 3 Points Refer to question 14. The standard deviations of SGW and ZPH are, respectively: A) 2.38% and 7.85% B) 4.56% and 7.36% 12.2% and 9.64% D) 5.87% and 6.77% E 8.78% and 5.89% Question 16 3 Points If the portfolio in question 14 is made up of 30% of SGW shares and the remainder is made up of ZPH shares, what is the expected return on the portfolio? A 2.12% B 6.03% 4.46% D 8.69% 7.84% Question 17 3 Points Calculate the standard deviation of the portfolio referenced in questions 14-16. Assume that the correlation coefficient between SGW and ZPH returns is 0.3. A) 5.53% B 3.46% 8.46% D) 10.39% E None of the above