单选题

An investor gathers the following information about two stocks:

  Scenaril 1 Scenaril 2 Scenaril 3
Probability 0.5 0.3 0.2
Rate of return on:      
Security 1 25% 10% -25%
Security 2 1% -5% 35%

If the investor plans to invest $60000 in Security 1 and $40000 in Security 2, the expected return on the two-asset portfolio is(     )。

【正确答案】 B
【答案解析】

E(R1 )=0.5×25+0.3×10+0.2×(–25)=10.5%.
E(R2 )=0.5×1+0.3×(–5)+0.2×35=6.0%.
E(Rp )=w1R1+ w2R2 =0.6×10.5+0.4×6.0=8.7%.