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Ch 03: Assignment - Risk and Return: Part II (HW02) Back to Assignment Attempts: 1 Keep the Highest: 1/4 6. Calculating a beta coefficient for a single stock Suppose that the standard deviation of returns for a single stock A is A = 30%, and the standard deviation of the market return is om = 10%. If the correlation between stock A and the market is PAM = 0.3, then the stock's beta is . Is it reasonable to expect that the future expected return for a stock will equal its historical average return over a relatively short period of time? Yes NO Next, consider a two-asset portfolio consisting of stock A with 4 = 80% and an expected return 1A = 15% and a standard deviation of A = 11%, and stock B with Tg = 7% and 78 - 8%. Assuming that the correlation between stocks A and B is PAB = -0.15, the expected return to the portfolio is , and the portfolio's standard deviation is Suppose that the correlation between stocks A and B is PAB = 1, instead of PAB = -0.15. Which of the following statements correctly reflects the new data? The risk associated with the portfolio is the same as when the correlation is PAB = -0.15. The expected return to the portfolio is lower. The risk associated with the portfolio is higher. The expected return to the portfolio is higher