Problem 2. Suppose that the index model for stocks A and B is estimated from excess returns with the following results:/ = RA = 3.00% + 1.05RM +eat RB = -1.20% + 1.20Rm +eB and om = 29%; R-squareda = 0.29; R-squarede = 0.144 = = Assume you create portfolio P with investment proportions of 0.60 in A and 0.40 in B.- a) What is the standard deviation of the portfolio? (Hint: R-squared is the variance explained by the market risk B2o divided by the variance in the stock o.] b) What is the beta of the portfolio? c) What is the firm-specific variance of the portfolio? (Round to 3 decimals.) d) What is the covariance between the portfolio and the market index? (Round to 3 decimals.)