Answered step by step
Verified Expert Solution
Question
1 Approved Answer
I need the Firm-specific and the Covariance please Suppose that the index model for stocks A and B is returns with the following resi RA
I need the Firm-specific and the Covariance please Suppose that the index model for stocks A and B is returns with the following resi RA - 1.58% .SSR Re -1.403. B.GR O = 18; R-square -8.25 Assume you create portfolio Pwith Investment proportions of 0.60 in A and 0 40 in B a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations Round your answer places.) Answer is complete and correct 17.58 b. What is the beta of your portfolio? (Do not round your intermediate Answer is complete ani c. What is the firm-specific variance of your portfollo? (Do not round yo places.) Answer is complete but not entirely correct 0.0006 your d. What is the covariance between the portfolio and the market Index? (Do not found your Interme answer to 3 decimal places.) Answer is complete but not entirely correct. Covariance 324.000 H.B 1 Problem 8-13 Suppose that the index model for stocks A and B is estimated from excess returns with the following results: Ba = 1.99 + .5% Rg - -1.40 + 0.60 - 10%; t-square + CA + es - 0.25; R-squareg - 0.16 Assume you create portfolio Pwith investment proportions of 0.60 In A and 0.40 in B a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 dec. places. Standard deviation 17.58% b. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Portfolio beta 0.57 c. What is the firm-specific variance of your portfolio? (Do not round your intermed places) Iculations. Round your answer to 4 Firm-specific 0.0906 d. What is the covariance between the portfolio and the market index? (Do not round your intern answer to 3 decimal places.) te calculations. Round yo Covariance 324 000
I need the Firm-specific and the Covariance please
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access with AI-Powered Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started