Problem $1.$

The following are estimates for two stocks.

The market index has a standard deviation of $24\%$ and the risk$-$free rate is $4\%.$

a$)$ What are the standard deviations of stocks A and $B?$

b$)$ Suppose we build a portfolio with the following weights: $50\%$ in stock A$,40\%$ in stock B$,$ and $10\%$ in risk$-$

free T$-$bills. Compute the expected return, standard deviation, beta, and nonsystematic standard

deviation of the portfolio