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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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