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Hi there. I need helps answering this question. Thank you. Suppose that the index model for stocks A and B is estimated from excess returns

Hi there. I need helps answering this question. Thank you.

Suppose that the index model for stocks A and B is estimated from excess returns with the following results:

RA = 3.5% + 0.65RM + eA
RB = 1.6% + 0.8RM + eB
M = 21%; R-squareA = 0.22; R-squareB = 0.14

Assume you create portfolio P with investment proportions of 0.60 in A and 0.40 in B.

1.

What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Standard deviation %

2.

What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)

Portfolio beta

3.

What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations.Round your answer to 4 decimal places.)

Firm-specific

4.

What is the covariance between the portfolio and the market index? (Do not round your intermediate calculations. Round your answer to 3 decimal places.)

Covariance

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