Question
Your client holds a risky portfolio P that consists of two assets: Stock A and Stock B. The portfolio weight of stock A in risky
Your client holds a risky portfolio P that consists of two assets: Stock A and Stock B. The portfolio weight of stock A in risky portfolio P is 77%. The rest is investment in Stock B. You expect the following macroeconomic conditions and the assets' expected performance as shown below. What is the correlation between the two stocks?
| Stock A | Stock B | ||
| State | Probability | Expected HPR | Expected HPR |
| Severe recession | 5.00% | -57.00% | 36.00% |
| Mild recession | 40.00% | -11.00% | 15.00% |
| Normal growth | 40.00% | 35.00% | 2.00% |
| Boom | 15.00% | 71.00% | -15.00% |
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House Rent Receipt Book 240 Rental Receipt Book
Authors: Eugenia Gibson
1st Edition
979-8813106682
