Question
Use the following table of states of the economy and stock returns to calculate the expected return on a portfolio of 55 percent Roll and
Use the following table of states of the economy and stock returns to calculate the expected return on a portfolio of 55 percent Roll and the rest in Ross.
| Security if State | Returns Occurs | ||
| Prob of State of Economy | Roll | Ross | |
| Bust | 0.3 | -12% | 16% |
| Boom | ? | 23 | 6 |
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Introduction To Machine Learning In Quantitative Finance An Advanced Textbooks In Mathematics
Authors: Hao Ni, Xin Dong, Jinsong Zheng, Guangxi Yu
1st Edition
1786349361, 9781786349361
