6. The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 13%

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6. The following are estimates for two stocks.

Stock Expected Return Beta Firm-Specific Standard Deviation A 13% 0.8 30%

B 18 1.2 40 The market index has a standard deviations of 22% and the risk-free rate is 8%.

a. What are the standard deviations of stocks A and B?

b. Suppose that we were to construct a portfolio with proportions:

Stock A: .30 Stock B: .45 T-bills: .25 Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio.

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Investments

ISBN: 9780077261450

8th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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Question Posted: Jul 24, 2024 04:00 AM

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6. The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 13%

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Investments

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