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Security Returns if State Occurs State of Economy Probability of State of Economy Roll Ross Bust...

Security Returns if State Occurs
State of Economy Probability of State of Economy Roll Ross
Bust 0.40 −10 % 21 %
Boom 0.60 28 8

  

Calculate the volatility of a portfolio of 35 percent Roll and 65 percent Ross by filling in the following table: (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.)

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