Question
The following table represents a portfolio of two (2) assets: State of Nature Probability of State of Nature Return of Stock A under Different State
- The following table represents a portfolio of two (2) assets:
| State of Nature | Probability of State of Nature | Return of Stock A under Different State of Nature | Return of Stock B under Different State of Nature |
| Boom Normal Recession | 0.3 0.5 0.2 | 20% 10% 5% | 25% 20% 10% |
- What is the expected return on Stock A and Stock B? (2 marks)
- What is the standard deviation of returns of Stock A and Stock B? (4 marks)
- Which Stock is more volatile?
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Recent Advances In Computational Finance
Authors: Nikolaos S. Thomaidis, Jr. Dash, Gordon H.
1st Edition
1626181233, 978-1626181236
