Question
You decide to invest in a portfolio consisting of 11 percent Stock X, 53 percent Stock Y, and the remainder in Stock Z. Based on
You decide to invest in a portfolio consisting of 11 percent Stock X, 53 percent Stock Y, and the remainder in Stock Z. Based on the following information, what is the standard deviation of your portfolio?
| State of Economy | Probability of State | Return if State Occurs | ||||||||||
| of Economy | ||||||||||||
| Stock X | Stock Y | Stock Z | ||||||||||
| Normal | .76 | 10.70% | 4.10% | 13.10% | ||||||||
| Boom | .24 | 18.00% | 26.00% | 17.50% | ||||||||
2.68%
3.57%
7.47%
5.98%
8.72%
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Options Futures And Other Derivatives
Authors: John C. Hull
8th Edition
0132164949, 9780132164948
