Problem 4 (10') You invest into an equal-weighted portfolio of 20 stocks. These 20 stocks' excess returns follow the market index model. Rit = di + BiRmt + Eit, where Rit denotes the annual excess returns of stock i and Rmt is the annual excess return on the S&P 500 index. Assume: Eit for each stock has zero mean and standard deviation equal to 30%. Eit are uncorrelated across stocks and uncorrelated with the index. Bi = 1.0 for all 20 stocks The S&P 500 has a risk premium of 6% and a standard deviation of 20%. Please calculate the standard deviation of your portfolio