Question
Suppose you have a portfolio consisting of three stocksStock X, Stock Y, and Stock Z. The following amounts are invested in each stock: Stock X
Suppose you have a portfolio consisting of three stocksStock X, Stock Y, and Stock Z. The following amounts are invested in each stock: Stock X = $70,000; Stock Y = $70,000; and Stock Z = $60,000. What is the portfolio standard deviation?
| State | Probability | Stock X | Stock Y | Stock Z |
| Recession | 0.25 | -19% | -10% | 6% |
| Normal | ? | 5% | -3% | -5% |
| Boom | 0.30 | 28% | 14% | -12% |
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The Oxford Handbook Of Quantitative Asset Management
Authors: Bernd Scherer, Kenneth Winston
1st Edition
0199553432, 978-0199553433
