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    Mean, standard deviation, covariance & correlation of return

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    Securities A & B have the following rates of return & probabilities of occurrence:

    Probability ROR on Securities: A B
    0.3 -2% 28%
    0.3 4% 12%
    0.4 20% 3%

    a. calculate mean & standard deviation in the return for each asset.
    b. calculate the covariance & the correlation coefficient on the returns of the two assets
    c. calculate the mean & standard deviation in the return on the following portfolios of the two assets:
    (1) 75% in A and 25% in B
    (2) 50% in each
    (3) 25% in A & 75% in B

    ROR: Rate of Return

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    Solution Summary

    Calculates mean, standard deviation, covariance, correlation coefficient, for returns on securities and mean & standard deviation of return for portfolios.