Suppose that the index model for stocks A and B is estimated from excess returns with...

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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA= 2.50% +0.95RM +eA RB 1.80% + 1.10RM + eB OM 27%; R-squareд = 0.23; R-squareg = 0.11 Assume you create portfolio Pwith investment proportions of 0.60 in A and 0.40 in B. a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Portfolio beta % 1.01 c. What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 decimal places.) Firm-specific Covariance d. What is the covariance between the portfolio and the market index? (Do not round your intermediate calculations. Round your answer to 3 decimal places.) Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA= 2.50% +0.95RM +eA RB 1.80% + 1.10RM + eB OM 27%; R-squareд = 0.23; R-squareg = 0.11 Assume you create portfolio Pwith investment proportions of 0.60 in A and 0.40 in B. a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Portfolio beta % 1.01 c. What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 decimal places.) Firm-specific Covariance d. What is the covariance between the portfolio and the market index? (Do not round your intermediate calculations. Round your answer to 3 decimal places.)

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