Derive the expected returns and the standard deviation of returns for the two assets above.
Derive the expected returns and the standard deviation of returns for the two assets above.
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
Consider the case of two financial assets and three market conditions (states). The table
below gives the respective
in each one of them.
Market Conditions
State | Recession | Normal | Expansion |
Probability of state | 30% | 40% | 30% |
Return of asset A | -30% | 20% | 55% |
Return of asset B | -10% | 70% | 0% |
a. Derive the expected returns and the standard deviation of returns for the two assets
above.
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