State of Economy Bust Probability of Security Returns if State Occurs State of Economy Roll Ross -10% Boom 28 21% 8 0.40 0.60 Calculate the volatility of a portfolio of 35 percent Roll and 65 percent Ross by filling in the following table: Note: Do not round intermediate calculations. Enter all answers, except the standard deviation, as decimals rounded to 5 decimal places. Enter the standard deviation as a percent rounded to 2 decimal places. Calculating Portfolio Variance State of Economy Probability of State of Economy Portfolio Return if State Occurs Squared Deviation from Expected Return Product Bust 0.40 Boom 0.60 σ2p= Op= %

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 26P
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Question
State of
Economy
Bust
Probability of Security Returns if State Occurs
State of Economy
Roll
Ross
-10%
Boom
28
21%
8
0.40
0.60
Calculate the volatility of a portfolio of 35 percent Roll and 65 percent Ross by filling in the following table:
Note: Do not round intermediate calculations. Enter all answers, except the standard deviation, as decimals rounded to 5
decimal places. Enter the standard deviation as a percent rounded to 2 decimal places.
Calculating Portfolio Variance
State of
Economy
Probability
of State of
Economy
Portfolio Return if
State Occurs
Squared
Deviation from
Expected
Return
Product
Bust
0.40
Boom
0.60
σ2p=
Op=
%
Transcribed Image Text:State of Economy Bust Probability of Security Returns if State Occurs State of Economy Roll Ross -10% Boom 28 21% 8 0.40 0.60 Calculate the volatility of a portfolio of 35 percent Roll and 65 percent Ross by filling in the following table: Note: Do not round intermediate calculations. Enter all answers, except the standard deviation, as decimals rounded to 5 decimal places. Enter the standard deviation as a percent rounded to 2 decimal places. Calculating Portfolio Variance State of Economy Probability of State of Economy Portfolio Return if State Occurs Squared Deviation from Expected Return Product Bust 0.40 Boom 0.60 σ2p= Op= %
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