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What is the variance of the portfolio

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Reference no: EM132185327

All answers must be entered as a formula in excel

1. Consider the following information. Your portfolio is invested 30 percent each in A and C, and 40 percent in B. What is the expected return of the portfolio? What is the variance of the portfolio? The standard deviation?

State               Probability                  Stock A                      Stock B                   Stock C

Boom             0.10                            0.35                            0.45                         0.27

Good              0.60                            0.16                            0.10                         0.08

Poor                0.25                            (0.01)                          (0.06)                    (0.04)

Bust                0.05                            (0.12)                          (0.20)                    (0.09)

Weights                                             0.30                            0.40                         0.30

Complete the following analysis. Do not hard code values in your calculations.

                       Portfolio                               Return              Squared          

State               Return            Product          Deviation         Deviation       Product

Boom

Good

Poor

Bust                                        ___________                                                 ___________

                                   E(R)=                                                      Variance

Standard Deviation=

Reference no: EM132185327

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