State of nature probability return

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Reference no: EM13908796

Use the information in the table below to answer the next seven multiple choice questions. State of Nature Probability Return on A Return on B I 0.4 6% 11% II 0.2 9% 6% III 0.4 12% 15% The correlation between A and B is 0.35. The portfolio weight of A is 25%. The portfolio weight of B is 75%. 22.value:

The expected return in percent for investment A is 12.24% 7.74% 9.72% 9.00% 23.value:

The standard deviation of returns for investment A is 2.68% 2.82% 2.31% 3.33% 24.value:

The expected return in percent for investment B is 10.90% 11.60% 12.88% 14.73% 25.value:

The standard deviation of returns for investment B is 2.33% 3.59% 3.32% 4.52% 26.value:

The expected return in percent for a portfolio of 25% investment A and 75% investment B is 8.54% 14.89% 10.95% 12.15% 27.value:

The covariance between investment A and investment B is 4.06 3.12 3.84 2.93 28.value:

The return standard deviation for a portfolio of 25% investment A and 75% investment B is 3.64% 2.41% 3.02% 2.80%

Reference no: EM13908796

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