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Use the information in the table State Probabilty Ret(US) Ret(UK) Ret(Brazil) 1 .30 .10 .14 .06 2 .30 .08 .07 .20 3 .40 .14 .11
Use the information in the table
| State | Probabilty | Ret(US) | Ret(UK) | Ret(Brazil) |
| 1 | .30 | .10 | .14 | .06 |
| 2 | .30 | .08 | .07 | .20 |
| 3 | .40 | .14 | .11 | .06 |
- What is the expected return of a portfolio with 25% of wealth invested in the US, and 75% invested in the UK?
- What is the standard deviation of return of a portfolio with 25% of wealth invested in the US, and 75% invested in the UK?
- What is the covariance of return between the US and the UK?
- Can an investor obtain diversification gains by investing in both the US and the UK? Why or why not? Be sure to provide quantitative justification for your answer.
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Financial Sector Reform And Privatization In Transition Economies
Authors: John Doukas, Victor Murinde, Clas Wihlborg
1st Edition
044482653X, 9780444826534
