Find the following data on three different assets, A, B, & C. Also, a 3-asset portfolio is
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Question:
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
- Weight of assets in portfolio: A, B & C?
- Correlation coefficients between assets' returns: between A & B?
- Correlation coefficients between assets' returns: between B & C?
- Correlation coefficients between assets' returns: between C & A?
- Expected value of return on assets A, B, C and portfolio?
- Standard deviations of return on assets - A, B, C and portfolio?
Related Book For
Business Statistics For Contemporary Decision Making
ISBN: 978-1118749647
8th edition
Authors: Black Ken
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