A-C

Suppose that the index model for stocks A and B is estimated from excess returns with the following results: BA = 3.6 1.20 8M + A RA -1.61 + 1.50RN + es OM - 16t; R-square - 0.25; R-squareg - 0.15 Assume you create a portfolio Qwith investment proportions of 0.40 in a risky portfolio P. 0.35 in the market index, and 0.25 in T-bill. Portfolio Pis composed of 70% Stock A and 30% Stock 8. a. What is the standard deviation of portfolio Q? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b. What is the beta of portfolio ? (Do not round intermediate calculations, Round your answer to 2 decimal places.) Portfolio bela c. What is the "firm-specific" risk of portfolio Q? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 4 decimal places.)