Find the following data on three different assets, A, B, & C. Also, a 3-asset portfolio is formed with $20.00 invested in A, $30.00 invested in B, and $40.00 invested in C. Please calculate the required values and select accordingly.

economy	probability	return on asset A	return on asset B	return on asset C
boom	20%	20%	25%	7%
avg	50%	10%	22%	9%
bust	30%	8%	15%	12%

 

Questions

1. Weight of assets in portfolio: A, B & C?
2. Correlation coefficients between assets' returns: between A & B?
3. Correlation coefficients between assets' returns: between B & C?
4. Correlation coefficients between assets' returns: between C & A?
5. Expected value of return on assets A, B, C and portfolio?
6. Standard deviations of return on assets - A, B, C and portfolio?

Answer rating: 100% (QA)

To calculate the weight of assets in the portfolio we divide the amount invested in each asset by the total investment in the portfolio Weight of asse... View the full answer