Question
Suppose a portfolio manager wishes to construct a portfolio using two securities Coll and USR, both of their return data are shown in the Slide
Suppose a portfolio manager wishes to construct a portfolio using two securities Coll and USR, both of their return data are shown in the Slide 5 with the title “Hypothetical Investment Alternatives”. Specifically, the manger allocates $60,000 in the Coll and $30,000 in the USR. Please calculate
(1) Portfolio Expected Return
(2) Portfolio Standard Deviation
Economy | Prob. | T-Bills | HT | Coll | USR | MP |
Recession | 0.1 | 5.5% | -27.0% | 27.0% | 6.0% | -17.0% |
Below avg | 0.2 | 5.5% | -7.0% | 13.0% | -14.0% | -3.0% |
Average | 0.4 | 5.5% | 15.0% | 0.0% | 3.0% | 10.0% |
Above avg | 0.2 | 5.5% | 30.0% | -11.0% | 41.0% | 25.0% |
Boom | 0.1 | 5.5% | 45.0% | -21.0% | 26.0% | 38.0% |
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Stats Data And Models
Authors: Richard D. De Veaux, Paul D. Velleman, David E. Bock
4th Edition
321986490, 978-0321989970, 032198997X, 978-0321986498
