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Use the following table of states of the economy and stock returns to calculate the expected return on a portfolio of 47 percent Roll and

Use the following table of states of the economy and stock returns to calculate the expected return on a portfolio of 47 percent Roll and the rest in Ross.

Security

if State

Returns

Occurs

Prob of State of Economy Roll Ross
Bust 0.6 -5% 33%
Boom ? 36 12

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