The following are estimates for two stocks. Stock Expected Return 128 20 Beta Firm-Specific Standard Deviation 26% 36 0.65 1.15 The market index has a standard deviation of 20% and the risk-free rate is 7%. a. What are the standard deviations of stocks A and B? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Stock A Stock B % b. Suppose that we were to construct a portfolio with proportions: Stock A Stock B T-bills 0.40 0.40 0.20 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 Standard deviation Beta Nonsystematic standard deviation