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Suppose that there are four possible states of the economy in 2022, and their associated...

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Finance

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Suppose that there are four possible states of the economy in 2022, and their associated probabilities are listed below. Returns of asset A and asset B in those four scenarios are also listed. Answer the following questions (please round to two decimals in percentage, e.g., 11.24%). You can copy the following table directly to your own excel worksheet. Note: if your answer, for example, is 11.11%, then input 11.11; DO NOT include "%" in your typed answer. Round to 2 decimal places, even with whole numbers (e.g. if your answer is 10, write 10.00) State Probability Asset A Asset B Boom 0.2 0.18 10.40 Normal 10.5 10.12 0.18 Recession 10.2 10.01 -0.05 Crisis 0.1 -0.12 -0.20 Expected return of asset A is %. Standard deviation of asset A is %. Suppose we form a portfolio with 40% in asset A, and 60% in asset B. The portfolio expected return is %, and the portfolio standard deviation is %. To achieve an expected return of 11%, the portfolio weight on asset A should be %

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