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Portfolio Risk Analysis: Expected Returns and Variance
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Explore security return variances, deviations, covariance, and correlation. Calculate portfolio expected return and standard deviation using provided data. Understand risk-free security implications.
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Portfolio Risk Analysis: Expected Returns and Variance
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Presentation Transcript
I Probability Distributions II Security Expected Returns E(RA) = 12 (.30) + 10 (.40) + 8 (.30) = 3.6 + 4.0 + 2.4 = 10% E(RB) = 14 (.30) + 20 (.40) + 26 (.30) = 4.2 + 8.0 + 7.8 = 20%
III Security Return Variances IV Security Return Deviations
V Covariance of Security Returns VI Correlation of Security Returns
VII-A Portfolio Expected Return VIII-A Portfolio Standard Deviation
VII-B Portfolio Expected Return VIII-B Portfolio Standard Deviation
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