In: Finance
Tyler Trucks stock has an annual return mean and standard deviation of 15 percent and 38 percent, respectively. Michael Moped Manufacturing stock has an annual return mean and standard deviation of 11.4 percent and 56 percent, respectively. Your portfolio allocates equal funds to Tyler Trucks stock and Michael Moped Manufacturing stock. The return correlation between Tyler Trucks and Michael Moped Manufacturing is 0.5. What is the smallest expected loss for your portfolio in the coming month with a probability of 16 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places.)
Confused on how to find the z score? I do not think the current answer I got is correct, can you show the steps?