Question
You are given the following information: Risk-free Rate = 2.5% / year. Future State - One year from now Probability Return for Security A Return
You are given the following information: Risk-free Rate = 2.5% / year.
| Future State - One year from now | Probability | Return for Security A | Return for Security B |
| Very Good | 10.00% | 25.00% | -6.00% |
| Good | 20.00% | 15.00% | 10.00% |
| Average | 30.00% | 10.00% | 8.00% |
| Poor | 40.00% | -8.00% | 1.00% |
Calculate the following:
1. Expected Return for the Minimum Variance Portfolio [5 pts.]
2. SD of the Minimum Variance Portfolio [5 pts.]
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Financial Management Core Concepts
Authors: Raymond M Brooks
3rd edition
133866696, 978-0133866698
