Question
Stocks B and C have the following returns in four equally-likely scenarios: Scenario B C Bad -1.8% -3.5% Meh 0.3% -0.3% Decent 12.3% 12.6% Great
Stocks B and C have the following returns in four equally-likely scenarios:
| Scenario | B | C |
| Bad | -1.8% | -3.5% |
| Meh | 0.3% | -0.3% |
| Decent | 12.3% | 12.6% |
| Great | 14.3% | 17.4% |
The risk-free rate is 1.5%. What is the expected excess return of a portfolio that is 20% invested in Stock B and the remainder in Stock C? Give your answer in percentage to the closest basis point.
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Investment Risk Management
Authors: Yen Yee Chong
1st Edition
0470849517, 9780470849514
