Question: The following are estimates for two stocks. Stock Expected Return Beta firm-specific Standard Deviation A 0.14 0.8 0.32 B 0.2 1.26 0.36 The market index

The following are estimates for two stocks.

Stock

Expected Return

Beta

firm-specific Standard Deviation

A

0.14

0.8

0.32

B

0.2

1.26

0.36

The market index has a standard deviation of 0.16 and the risk-free rate is 0.08.

Suppose that we were to construct a portfolio with proportions: Stock A 0.34 Stock B 0.43 The remaining proportion is invested in T-bills.

Compute the beta of the portfolio.

Round your answer to 4 decimal places. For example, if your answer is 3.205%, then please write down 0.0321.

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