5. (4 points) Suppose K and K have the following distribution: Scenario Probability return K W1...
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5. (4 points) Suppose K₁ and K₂ have the following distribution: Scenario Probability return K₁ W1 0.3 -10% W2 0.4 0% W3 0.3 20% (a) (1.5 points) Find the risk of the portfolio with w₁ (b) (1 points) Find the risk of the portfolio with w₁ = = return K₂ 10% 20% -10% 30% and w2 50% and w2 = = 70%. : 50%. 5. (4 points) Suppose K₁ and K₂ have the following distribution: Scenario Probability return K₁ W1 0.3 -10% W2 0.4 0% W3 0.3 20% (a) (1.5 points) Find the risk of the portfolio with w₁ (b) (1 points) Find the risk of the portfolio with w₁ = = return K₂ 10% 20% -10% 30% and w2 50% and w2 = = 70%. : 50%.
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To calculate the risk of a portfolio we need to consider the weighted average of the individual risk... View the full answer
Related Book For
Introduction to Management Science A Modeling and Cases Studies Approach with Spreadsheets
ISBN: 978-0078024061
5th edition
Authors: Frederick S. Hillier, Mark S. Hillier
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