Question

1. Consider the following information about expected returns for two securities, XYZ and GHG. Probability XYZ...

1.

Consider the following information about expected returns for two securities, XYZ and GHG.

Probability XYZ GHG
Boom 40% 13.5% -2%
Neutral 25% 8% 7%
Bust 35% -1% 9.8%

The expected return for a portfolio invested 65% in XYZ and 35% in GHG is:

2.

Mark estimates the expected returns for XYZ and GHG to be 12.3% and 5.2% respectively. Mark wants to build a portfolio with an expected return of 9.50%. The weight of XYZ in the portfolio should be:

3.

Given the following information about past returns for XYZ, what is the standard deviation of returns?

Year Return
1 12.00%
2 8.30%
3 -4.70%
4 -0.90%
5 5.70%
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