11. The standard deviation of a portfolio is equal to A. a weighted average of the standard deviations of the assets in the portfolio C. the correlation of the assets in the portfolio multiplied by their standard deviations e square root of the average variance of the assets in the portfolio D. the square root of the sum of the cells in its weighted variance/covariance matrix 12. Which of the following statements is false? A. An asset which has an unusually high covariance with the market will have a beta greater than 1.0 B. The covariance of a stock's returns with itself is equal to its variance C. The covariance between the risk-free asset and any risky asset is zero D. A firm's asset beta is the slope of the regression line when you regress the returns of the firm's stock on the returns of the market 13. A stock with an enterprise value of $100 million and a market capitalization of $100 million has a beta of 0.800 and is in the 35% marginal tax bracket. If it issues S20 million of bonds priced at par, what will its beta be? A. 0.800 B. 0.887 C. 0.904 D. 1.000 14. A stock had the following annual returns for the last six years: 47%,-65%, 12.3%, 7.5% 0.6%-85%, what was its buy-and-hold return? A. 1.41% B. 1.68% C. 2.30% D. None of the above are correct 15. The risk-free rate of return is 3.0%, the market risk-premium is 5.7%, and the standard deviation of the market is 20.2%. If market returns are normally distributed, what is the probability that the market will out-perform the risk-free rate next year? A. 38.89% B. 44.68% C. 55.32% D. 61.11%