Question
You conduct the following scenario analysis: Economy Probability Portfolio X Portfolio Y Very good 0.1 25% 40% Good 0.2 10% 15% Average 0.4 5% 0%
You conduct the following scenario analysis:
| Economy | Probability | Portfolio X | Portfolio Y |
| Very good | 0.1 | 25% | 40% |
| Good | 0.2 | 10% | 15% |
| Average | 0.4 | 5% | 0% |
| Bad | 0.2 | -5% | -20% |
| Very bad | 0.1 | -15% | -50% |
a. What are the expected return and standard deviation of portfolio X and Y?
b. What are the Sharpe ratios of the portfolios based on scenario analysis, risk free rate is 1%?
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Handbook Of Blockchain Digital Finance And Inclusion
Authors: David Lee, Robert H. Deng
1st Edition
012812282X, 978-0128122822
