Question: The following are estimates for two stocks. Stock Expected Return 14% 21 Firm-Specific Standard Deviation 27% 38 Beta 0.70 1.20 118 The market index has

The following are estimates for two stocks. Stock Expected Return 14% 21 Firm-Specific Standard Deviation 27% 38 Beta 0.70 1.20 118 The market

The following are estimates for two stocks. Stock Expected Return 14% 21 Firm-Specific Standard Deviation 27% 38 Beta 0.70 1.20 118 The market index has a standard deviation of 23% and the risk-free rate is 9%. a. What are the standard deviations of stocks A and B? (Do not round intermediate calcula places.) Stock A 31.44% 46.97 % Stock B | b. Suppose that we were to construct a portfolio with proportions: Stock A Stock B T-bills 0.35 0.35 0.30 Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio. (Do not round intermediate calculations. Enter your answer for Beta as a number, not a percent. Round your answers to 2 decimal places.) Expected return 14.95 Standard deviation Beta Nonsystematic standard deviation

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