Given the following information,what is the variance of the returns on a portfolio that is invested 40 percent in both Stocks A and B,and 20 percent in Stock C?
A)0.002102
B)0.002490
C)0.002513
D)0.005746
E)0.006143

Question

Given the following information,what is the variance of the returns on a portfolio that is invested 40 percent in both Stocks A and B,and 20 percent in Stock C? 
A)0.002102 
B)0.002490 
C)0.002513 
D)0.005746 
E)0.006143

Quizplus · Accepted Answer

E(R_Normal) = (0.40 × 0.134) + (0.40 × .0.176) + (0.20 × 0.093) = 0.1426E(R_Recession) = (0.40 × 0.022) + (0.40 × -0.285) + (0.20 × 0.112) = -0.0828E(R_Portfolio) = (0.87 × 0.1426) + (0.13 × -0.0828) = 0.113298Variance = 0.87(0.1426 - 0.113298)² + 0.13(-0.0828 - 0.113298)² = 0.005746

Given the Following Information,what Is the Variance of the Returns