Problem $11-33$ Systematic versus Unsystematic Risk

Stock Y has a beta of $1$ and a return of $12\mathrm{.}4$ percent. Stock Z has a beta of $\mathrm{.}6$

$$

State of EconomyProbability of State of EconomyRate of Return if State Occurs

Stock IStock IIRecession$\mathrm{.}30\mathrm{.}04\mathrm{.}19$Normal$\mathrm{.}50\mathrm{.}16\mathrm{.}06$Irrational exuberance$\mathrm{.}20\mathrm{.}05\mathrm{.}39$

$$

The market risk premium is $8$ percent and the risk$-$free rate is $5$ percent. $($Do not round intermediate calculations. Enter the standard deviations as a percent and round all answers to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$