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Please show all work on excel please Suppose that the index model for stocks A and B is estimated from excess returns with the following
Please show all work on excel please
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: = 3.2% + 1.10RM + CA RB = -1.4% + 1.25RM + eB OM = 30%; R-squarea = 0.28; R-squarep = 0.12 Assume you create a portfolio Q, with 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 B. 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 Q? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Portfolio beta 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.) Firm-specific d. What is the covariance between the portfolio and the market index? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 2 decimal places.) Covariance Suppose that the index model for stocks A and B is estimated from excess returns with the following results: = 3.2% + 1.10RM + CA RB = -1.4% + 1.25RM + eB OM = 30%; R-squarea = 0.28; R-squarep = 0.12 Assume you create a portfolio Q, with 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 B. 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 Q? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Portfolio beta 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.) Firm-specific d. What is the covariance between the portfolio and the market index? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 2 decimal places.) CovarianceStep by Step Solution
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