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An Investment Firm Is Considering a Portfolio with Equal Weighting

question 355

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An investment firm is considering a portfolio with equal weighting in a cyclical stock and a countercyclical stock. It is expected that there will be three economic states; Good, Average and Bad, each with equal probabilities of occurrence. The cyclical stock is expected to have returns of 12%, 5% and 1% in Good, Average and Bad economies respectively. The countercyclical stock is expected to have returns of -8%, 2% and 14% in Good, Average and Bad economies respectively. Given this information, calculate portfolio variance.


Definitions:

Par Value

The face value of a bond or share of stock as stated on the certificate, which is not necessarily indicative of the market value.

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