Problem 11-7

		Security Returns If State Occurs
State of	Probability of
Economy	State of Economy	Roll		Ross
Bust	.40	10	%	21	%
Boom	.60	28		8

Calculate the volatility of a portfolio of 35 percent Roll and 65 percent Ross by filling in the following table:(Round your standard deviation answer to 2 decimal places. Round your intermediate calculations and other answers to 4 decimal places. Omit the "%" sign in your response.)

Calculating Portfolio Variance
State of Economy	Probability of State of Economy		Portfolio Return If State Occurs	Squared Deviation from Expected Return	Product
Bust	.40		0.10
Boom	.60		0.15	0.0004	0.0002
				p2 =
				=	%