Question: Problem 8-13 Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3.60% +

Problem 8-13 Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3.60% + 1.20RM + eA RB = -1.60% + 1.50RM + eB OM = 16%; R-squareA 0.25; R-squareg = 0.15 Assume you create portfolio P with investment proportions of 0.70 in A and 0.30 in B. a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) b. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)

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