Fi320 portfoliorisk

Fi320 portfoliorisk - 7.000-10.000 2.100-3.00 14.500 5.00...

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States Prob of state S fund return B fund return Return on portfolio prob*return Poor 0.3 -10 30 2 0.6 Below Average 0.1 5 15 8 0.8 Average 0.2 10 8 9.4 1.88 Above Average 0.1 20 3 14.9 1.49 Excellent 0.3 40 -5 26.5 7.95 Port Exp Ret 12.72 percent in each 70% 30% p(S)r(s)+p(s)r(s) State Prob A B E(rA)=BxC E(rB)=BxD Above Avg 0.100 34.000 20.000 3.400 2.00 Average 0.600 15.000 10.000 9.000 6.00 Below Avg 0.300
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Unformatted text preview: 7.000-10.000 2.100-3.00 14.500 5.00 A= 30.000 B= 70.000 Dev dev^2 Prob*dev^2-10.72 114.92 34.48-4.72 22.28 2.23-3.32 11.02 2.2 2.18 4.75 0.48 13.78 189.89 56.97 Variance 96.35 St Dev 9.82 E(rp) P*Dev(A)^2 P*Dev(B)^2 P*Dev(A)*Dev(B) 7.85 38.03 22.50 0.15 15.00 16.88 67.50 std(A) std(B)...
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This note was uploaded on 04/16/2008 for the course FI 320 taught by Professor Erhemjamts during the Spring '08 term at Bentley.

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Fi320 portfoliorisk - 7.000-10.000 2.100-3.00 14.500 5.00...

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