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The following information relates to returns of two securities under three states of the economy as follows: ...

      

The following information relates to returns of two securities under three states of the economy as follows:
Return on Return on
State of economy Probability security X security Y
Boom 0.40 18% 24%
Normal 0.50 14% 22%
Recession 0.10 12% 21%

Required:
(i) Expected returns on security X and Y.
(ii) Standard deviation of returns on security X and security Y.
(iii) Kalama Chivuva has invested 20% in security X and 80% in security Y. Determine his expected portfolio return.
(iv) Calculate covariance of returns of security X and Y.
(v) Determine the portfolio risk as measured by standard deviation.

  

Answers


Francis
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francis1897 answered the question on November 1, 2022 at 12:14


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