3 10 Pts You Ve Been Tasked With Evaluating The Risk Of A New Trading Strategy Being Incorporated By The Quant Shop 1 (31.55 KiB) Viewed 12 times
3 10 Pts You Ve Been Tasked With Evaluating The Risk Of A New Trading Strategy Being Incorporated By The Quant Shop 2 (31.55 KiB) Viewed 12 times
3. [10 pts.] You've been tasked with evaluating the risk of a new trading strategy being incorporated by the quant shop that you work for. Based on a lot of simulations, you've determined that the following scenarios are possible: Prob(scenario) Return of Investment A Return of Investment B 10% -10% -8% 20% 0% 4% 30% 12% 0% 20% 10% -4% 20% 20% 20% 3a. Compute the correlation between the two investments. 3b. Compute the expected return and standard deviation of this investment strategy for the following sets of portfolio weights: 1) 30% Investment A & 70% Investment B, and 2) 50% Investment A and 50% Investment B
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