What is smallest expected loss for portfolio

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Reference no: EM132002575

Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of 12 percent. Annual return standard deviations for these three stocks are 27 percent, 37 percent, and 47 percent. The return correlations among all three stocks are zero. What is the smallest expected loss for your portfolio in the coming year with a probability of 5 percent? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

Reference no: EM132002575

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