Question

		Rate of Return if State Occurs
State of Economy	Probability of State of Economy	Stock A	Stock B	Stock C
Boom	.25	.19	.35	.28
Good	.30	.14	.13	.14
Poor	.10	.00	−.10	−.05
Bust	.35	−.20	−.28	−.13

a. Your portfolio is invested 35 percent each in Stocks A and C and 30 percent in Stock B. What is the expected return of the portfolio? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.)

b-1. What is the variance of this portfolio? (Do not round intermediate calculations. Round your answer to 5 decimal places.)

b-2. What is the standard deviation? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places.)

You are going to invest in Asset J and Asset S. Asset J has an expected return of 15 percent and a standard deviation of 56 percent. Asset S has an expected return of 12 percent and a standard deviation of 21 percent. The correlation between the two assets is .50. What are the standard deviation and expected return of the minimum variance portfolio? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.)

Expected return = 11.82

can't figure out standard deviation: ?

standard deviation = ????

Answer 1

1)

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -

2)

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -