Question
Scenerio Probability Stock fund ROR Bond fund ROR Severe Recession .05 -41% -18% Mild Recession .20 -11% 14% Normal growth .30 8% 5% Boom .45
| Scenerio | Probability | Stock fund ROR | Bond fund ROR |
| Severe Recession | .05 | -41% | -18% |
| Mild Recession | .20 | -11% | 14% |
| Normal growth | .30 | 8% | 5% |
| Boom | .45 | 34% | 6% |
a. Calculate the values of mean return and variance for the stock fund. (Do not round intermediate calculations. Round "Mean return" value to 1 decimal place and "Variance" to 2 decimal places.)
b. Calculate the value of the covariance between the stock and bond funds. (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.)
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Advances In Financial Machine Learning
Authors: Marcos Lopez De Prado
1st Edition
1119482089, 978-1119482086
