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You have acquired the following information about two stocks A and B: State of Economy Probability Stock A Return Stock B Return Boom 0.2 15%
You have acquired the following information about two stocks A and B:
| State of Economy | Probability | Stock A Return | Stock B Return |
| Boom | 0.2 | 15% | 30% |
| Recession | 0.5 | -10% | -25% |
| Normal | 0.3 | 5% | 10% |
If you can invest in two stocks A and B, determine the standard deviation of the portfolio that has a 5% expected return.
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Investment Science
Authors: David G. Luenberger
1st International Edition
0195391063, 9780195391060
