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Scenario Probability Rate of return of stock fund (%) Rate of return of bond fund (%) Crash 0.1 -30 -5 Poor 0.4 -2 12 Good
Scenario | Probability | Rate of return of stock fund (%) | Rate of return of bond fund (%) |
Crash | 0.1 | -30 | -5 |
Poor | 0.4 | -2 | 12 |
Good | 0.3 | 15 | 4 |
Excellent | 0.2 | 40 | 2 |
Weights | Portfolio expected return | Portfolio SD |
0.0 | 0.059 | 0.055578773 |
0.2 | 0.0646 | 0.056646624 |
0.4 | 0.0702 | 0.083629899 |
0.6 | 0.0758 | 0.120184691 |
0.8 | 0.0814 | 0.159875076 |
1.0 | 0.087 | 0.200850691 |
Calculate the weight in stock fund, expected return and standard deviation of the minimum-variance portfolio. (including steps)
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