Reference no: EM132787825

Invest 10% of your money in Asset A, 50% in Asset B, and 40% in Asset C:

State          Probability               A              B           C

Boom          0.4                       50%      40%    30%

Bust          0.6                             -20%   10%  5%

Problem 1) What is the expected return and standard deviation for each asset?

a. expected return and standard deviation for A?

b. expected return and standard deviation for B?

c. expected return and standard deviation for C?

Problem 2) What is the expected return and standard deviation for the portfolio?

Problem 3) Based on the information above, assume the beta for each assets A, B, and C is 0.2, 1.8, and 3.5. What is the portfolio beta ?

Problem 4) Which asset has highest systematic risk ?

Problem 5) Which asset has highest total risk?