Your portfolio allocates equal amounts to three stocks all


Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of 10 percent. Annual return standard deviations for these three stocks are 27 percent, 37 percent, and 47 percent. The return correlations among all three stocks are zero. What is the smallest expected loss for your portfolio in the coming year with a probability of 1 percent? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

  Smallest expected loss                  %

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Financial Management: Your portfolio allocates equal amounts to three stocks all
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