Question: Problem 11-6 Portfolio Expected Returns (LO2, CFA3) Security Returns if State Occurs State of Economy Probability of State of Economy Roll Ross Bust 0.20 13

Problem 11-6 Portfolio Expected Returns (LO2, CFA3)

		Security Returns if State Occurs
State of Economy	Probability of State of Economy	Roll		Ross
Bust	0.20	13	%	17	%
Boom	0.80	24		6

Calculate the expected return on a portfolio of 60 percent Roll and 40 percent Ross by filling in the following table: (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.)

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