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Unformatted text preview: A B Recession 0.2-0.2-0.2 Normal 0.5 0.2 0.3 Boom 0.3 0.6 0.4 Weight 0.25 0.75 4) Calculate risks (standard deviation or variance) of each security. 5-6) Historical Portfolio Return and Risk (variance) calculation. 5) If we are supposed to have a portfolio composed of security A and B during 2000 to 2002, what was historical return of the portfolio 6) What was the risk (variance) of the portfolio? 7-8) Expected Portfolio Return and Risk 7) If we are supposed to have a portfolio composed of security A and B, what is the return of the portfolio 8) What is the risk (variance) of the portfolio?...
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- Spring '10
- Variance, Probability theory, Recession Normal Boom, Economy Recession Normal