Probability Risk Example

Probability Risk Example - 0.20-0.285 0.32 3 11 0.96 3.52...

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Probability and Risk Example state of the world probability Outcomes (annual returns in %) U.S. Stocks U.S. Bonds Int'l Stocks negative econ. growth 0.22 0 7 -1 slow economic growth 0.28 2 5 8 normal econ. growth 0.32 3 0 11 strong econ. growth 0.18 12 -2 16 probability return stocks bonds Int'l cov S,B cov S,I cov B,I stocks (S) bonds (B) int'l (I) 0.22 0 7 -1 0 1.54 -0.22 -3.5784 7.62643 -9.16 0.28 2 5 8 0.56 1.4 2.24 -1.138
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Unformatted text preview: 0.20-0.285 0.32 3 11 0.96 3.52 0.56141-0.5614-2.13 0.18 12-2 16 2.16-0.36 2.88-6.859 11.3518-6.249 cov cov cov 1.00 EV 3.680 2.580 8.420-11.014 18.6144-17.824 2.98 4.30 19.52 corr corr corr 0.79 1.64 0.05 0.15 2.13 2.13-0.7908 0.8126-0.9149 12.46 3.78 10.34 variance 16.38 11.84 32.04 std. dev. 4.05 3.44 5.66...
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This note was uploaded on 07/14/2010 for the course UGBA 18195 taught by Professor Johngonzales during the Summer '10 term at Berkeley.

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