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Four securities have the characteristics described in the following table: Stock A Stock B Stock C Stock D 4% 8% 10% 6% 2.2 1.5 0.5

Four securities have the characteristics described in the following table:

Stock A

Stock B

Stock C

Stock D

4%

8%

10%

6%

2.2

1.5

0.5

0.8

ei

4%

8%

4%

2%

Use the table and the Single-Index Model for problems 14-17 to calculate the requested values for an equally weighted portfolio made up of the four assets, given an expected market return of 6% (Rm = 6%) and a market risk of 4% ( m = 4%).

What is the standard deviation of the portfolio?

a.

Less than 2.5

b.

Greater than or equal to 2.5 but less than 5

c.

Greater than or equal to 5 but less than 7.5

d.

Greater than or equal to 7.5 but less than 10

e.

Greater than or equal to 10

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