Question
You have a portfolio comprising of 30 percent of Stock A and 70 percent of stock B. What is the portfolio Standard Deviation? Economy State
You have a portfolio comprising of 30 percent of Stock A and 70 percent of stock B. What is the portfolio Standard Deviation?
Economy State Probability E(R)-A E(R)-B
Boom 0.30 20% 14%
Normal 0.60 11% 9%
Recession 0.10 -23% -5%
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The Handbook Of Structured Finance
Authors: Arnaud De Servigny, Norbert Jobst
1st Edition
0071468641, 978-0071468640
