Q 8-8

Suppose that the Index model for stocks A and B is estimated from excess returns with the following results: RA=3.20%+1.10RM+eARB=1.40%+1.25RM+eBM=30%;-squareA=0.28;-squareeB=0.12 Assume you create portfolio P with investment proportions of 0.70 in A and 0.30 in B. a. What is the standard devlation of the portfolio? (Do not round your Intermedlate calculations. Round your answer to 2 decimal pleces.) b. What is the beta of your portfolio? (Do not round your Intermedlate calculations. Round your answer to 2 decimal places.) c. What Is the firm-specific varlance of your portfollo? (Do not round your Intermedlate calculations. Round your answer to 4 decime places.) d. What is the covarlance between the portfolio and the market index? (Do not round your Intermedlate calculations. Round your answer to 3 decimal places.)