QUESTION $1$

The data below describe a three$-$stock financial market that satisfies the single$-$index model. The standard deviation of the market portfolio is $15\%.$

Use this information to answer the following four questions.

What is the mean excess return of the index portfolio?

A$.8\%$

B$.7\%$

C$.6\%$

D$.9\%$

QUESTION $2$

The covariance between stock A and $B$ equals

$0\mathrm{.}022$

$0\mathrm{.}025$

$0\mathrm{.}011$

$0\mathrm{.}035$

QUESTION $3$

The systematic component of risk of stock $B$ is:

A$.0\mathrm{.}0036$

B$.0\mathrm{.}0064$

C$.0\mathrm{.}0045$

D$.0\mathrm{.}005$

QUESTION $4$

The firm$-$specific variance of $B$ equals

$0\mathrm{.}0036$

$0\mathrm{.}0064$

$0\mathrm{.}0056$

$0\mathrm{.}0092$