Assume asset returns are explained by the single index model. The index has expected return of 10% and standard deviation of 12%.

The following three stocks have the indicated estimated parameters.

I J K -0.8 1.2 1.6 2.0 1.7 1.4 ei 8 6 3 for each stock, calculate expected return and standard deviation. calculate the expected return and standard deviation of a portfolio that invests 30% in I, 50% in J and 20% in K. calculate the covariance between returns of J and K.

Assume asset returns are explained by the single index model. The index has expected return of 10% and standard deviation of 12%. The following three stocks have the indicated estimated parameters. a B I -0.8 2.0 8 J 1.2 1.7 6 K 1.6 1.4 3 a) for each stock, calculate expected return and standard deviation. b) calculate the expected return and standard deviation of a portfolio that invests 30% in I, 50% in J and 20% in K. c) calculate the covariance between returns of J and K