Consider the following information about the various states of economy and the returns of various investment alternatives for each scenario. State of the Economy Recession Below Average Average Above Average Boom Mean Standard Deviation Coefficient of Variation Covariance with MP Correlation with Market Index Beta Probability 0.2 0.1 0.3 0.3 0.1 % Return on T-Bills, Stocks and Market Index T- Bills 7 7 7 7 7 Phillips -22 -2 20 35 50 Pay- Rubber- made 10 up 28 14.7 0 -10 -20 -10 7 45 30 Market Index -13 1 15 29 43
Consider the following information about the various states of economy and the returns of various investment alternatives for each scenario. State of the Economy Recession Below Average Average Above Average Boom Mean Standard Deviation Coefficient of Variation Covariance with MP Correlation with Market Index Beta Probability 0.2 0.1 0.3 0.3 0.1 % Return on T-Bills, Stocks and Market Index T- Bills 7 7 7 7 7 Phillips -22 -2 20 35 50 Pay- Rubber- made 10 up 28 14.7 0 -10 -20 -10 7 45 30 Market Index -13 1 15 29 43
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 6P
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