Reference no: EM132825904

Risk-Free Rate = Economy Condition Probability Stock G Stock O Stock A Stock T 0.10%

Catastrophic 2.10% -60.15% -24.50% -2.15% -1.50%

Bad 31.25% -12.55% -7.15% 1.30% -1.00%

Neutral 38.90% 3.45% 0% -0.30% 0.40%

Good 26.25% 15.15% 9.15% 3.45% 1.80%

Exuberant 1.50% 70.15% 31.45% 7.60% 3.00%

Capital Allocations 32.65% 15.75% 22.10% 29.50%

Stock G Stock O Stock A Stock T

Expected Return 1.19% 0.12% 1.26402500% 0.329100%

Variance 0.026248612 0.006537916 0.000305325 0.000129918

Standard Dev. 0.162014233 0.080857382 0.017473564 0.011398172

Sharp Ratio -------- ------------ 0.666163451 0.200997147

Question: In light of the information above, calculate the expected return and standard deviation of the GOAT Portfolio (hint: while both ways are doable, it may be more interesting to work with a new random variable rather than many covariance terms...).