Suppose an investor creates a three asset portfolio combined of stock X, stock Y, and the risk-free asset. The investor puts 60% in Stock X, 30% in Stock Y, and 10% in the risk free rate.
Calculate the standard deviation on the portfolio. (Enter percentages as decimals and round to 4 decimals)
|
Prob(State) |
X |
Y |
| Boom |
50% |
12% |
8% |
| Normal |
15% |
6% |
-5% |
| Bust |
35% |
-3% |
3% |