The following are estimates for two stocks Stock Expected Return Beta Firm Specific Standard Deviation A 10 0 95 35 B 17 1 50 45 The market index has a standard deviation of 19 and the risk free rate is 12 a) What are the standard deviations of stocks A and B b) Suppose we build a portfolio with the following proportion 0 35 in stock A, 0 35 in stock B, and 0 3 in riskfree T bills Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio Problem 1 The following are estimates for two stocks Stock A B Expected Return 10 17 Beta 0 95 1 50 Firm Specific Standard Deviation 35 45 The market index has a standard deviation of 19 and the risk free rate is 12 a) What are the standard deviations of stocks A and B b) Suppose we build a portfolio with the following proportion 0 35 in stock A, 0 35 in stock B, and 0 3 in risk free T bills Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio

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Question: The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 10 % 0.95 35 % B 17 1.50 45 The

The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 10 % 0.95 35 % B 17 1.50 45 The market index has a standard deviation of 19% and the risk-free rate is 12%. a) What are the standard deviations of stocks A and B? b) Suppose we build a portfolio with the following proportion: 0.35 in stock A, 0.35 in stock B, and 0.3 in riskfree T-bills. Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio

The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific

Problem 1. The following are estimates for two stocks. Stock A B Expected Return 10% 17 Beta 0.95 1.50 Firm-Specific Standard Deviation 35% 45 The market index has a standard deviation of 19% and the risk-free rate is 12%. a) What are the standard deviations of stocks A and B? b) Suppose we build a portfolio with the following proportion: 0.35 in stock A, 0.35 in stock B, and 0.3 in risk- free T-bills. Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio

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