Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA 2.60 +0.90RM eA Ng- -2.00+ 1.20RN+ eB OM- 26 N-aquarea 0.211 R-aquarea 0.12 Assume you create portfollo Pwith investment proportions of 0.70 in A and 0,30 in B a. What is the standard deviation of the portfollo? (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.) Portfolilo beta What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 deci alaces.)

Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA 2.60 +0.90RM eA Ng- -2.00+ 1.20RN+ eB OM- 26 N-aquarea 0.211 R-aquarea 0.12 Assume you create portfollo Pwith investment proportions of 0.70 in A and 0,30 in B a. What is the standard deviation of the portfollo? (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.) Portfolilo beta What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 deci alaces.)

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13QTD

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