Question 5 (18 marks) Consider the following 2-stock portfolio: Stock Beta Investment Amount $100,000 $60,000 Standard Deviation 10% 25% Expected Return 20% 12% X Y 1.2 0.8 Assume that the risk-free rate is 5 percent and the expected return on the market portfolio is 15 percent. d) Which stock has higher systematic risk? Why? (2 marks) c) Estimate the standard deviation of the following portfolio with equal amount of capital invested in stock A and B: State Boom Bust Probability 0.5 0.5 Stock A 25% -15% Stock B 0% 30% (4 marks)