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Investment Analysis - Mean return/variance of a portfolio - probability unknown!

Hi,

I'm going through a past paper and floundering on one question.

The questions gives me the expected return, standard deviation and correlation for three assets.

It is asking me to work out the mean return and variance for a variety of different combinations of the three assets, now I know the formula for mean return and variance, but only if I either have past data or I know the probabilities of a certain return occurring in whatever state of the world.

Anybody know how I am supposed to do this ...or what I am on about for that matter? Cheers.
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Reply 2
Hi,
I've studied this not long ago and we used formulas without probabilities. To calculate variance you need weights of securities in portfolio, their standard deviations and correlation between security pairs; for mean return - weights and expected returns.

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