Use Excel for the following problem:

Economic Outlook Probability Rate of Return Asset A Rate of Return Asset B

Recession 0.1 -20% 20%

Below Average 0.2 -12% 8%

Average 0.2 10% -1%

Above Average 0.35 15% -3%

Boom 0.15 40% -5%

What are the expected return and standard deviation of returns of Asset A?

Expected return of Asset A: % (Give answer to 2 decimal places)

Standard deviation of returns of Asset A: % (Give answer to 2 decimal places)

What are the expected return and standard deviation of returns of Asset B?

Expected return of Asset B: % (Give answer to 2 decimal places)

Standard deviation of returns of Asset B: % (Give answer to 2 decimal places)

What are the expected return and standard deviation of the portfolio?

If the correlation coefficient between the returns of Assets A and B is 0.55 and an investor aims to hold a portfolio consisting of 51.00% and 49.00% of Asset A and B respectively:

Expected return of portfolio: % (Give answer to 2 decimal places )

Standard deviation of returns of portfolio: % (Give answer to 2 decimal places)

What are the Coefficients of Variation for Assets A and B?

COV of Asset A: (Give answer to 2 decimal places )

COV of Asset B: (Give answer to 2 decimal places )