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You are going to make a portfolio consisting of 90 % of Bank of America...

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Finance

You are going to make a portfolio consisting of 90 % of Bank of America Stock and 10 % of Caterpillar Stock. You also have the following information:

State i Probability of State i BOA Return Caterpillar Return
Boom 90 % 15 % 24 %
Bust 10 % -2 % -1 %

What is the standard deviation for the portfolio? (Answer as a percentage and Round to 2 decimals)

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