Question
RTF stock is expected to return 11 percent in a normal economy and lose 15 percent in recession. The probability of a recession is 33
RTF stock is expected to return 11 percent in a normal economy and lose 15 percent in recession. The probability of a recession is 33 percent while the probability of a booming economy is zero percent. What is the variance of the returns on RTF stock?
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Advanced Modelling In Mathematical Finance
Authors: Jan Kallsen, Antonis Papapantoleon
1st Edition
3319458736, 978-3319458731
