Assume a portfolio consists of four stocks. The alpha, beta, firm specific standard deviation (i.e.: standard deviation of residual), and investment of each stock are in the table below:

The market expected return is 8% and standard deviation of market returns is 5%. Required: Calculate the following portfolio parameters: a. Portfolio Alpha (2 marks) b. Portfolio Beta (1 marks) c. Portfolio standard deviation of returns (3 marks) d. Portfolio expected return (1 mark) e. The correlation coefficient between portfolio returns and market returns (2 marks)

Stocks A B Alpha 2 3 Beta 1.5 1.3 Firm specific standard deviation 3 1 Investment $m 1 2