Question
RA = 3.5% + 0.65RM + eA RB = 1.6% + 0.80RM + eB M = 21%; R-squareA = 0.22; R-squareB = 0.14 Assume you
RA = 3.5% + 0.65RM + eA
RB = 1.6% + 0.80RM + eB
M = 21%; R-squareA = 0.22; R-squareB = 0.14
Assume you create a portfolio Q, with investment proportions of 0.50 in a risky portfolio P, 0.30 in the market index, and 0.20 in T-bill. Portfolio P is composed of 60% Stock A and 40% Stock B.
a. What is the standard deviation of portfolio Q? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 2 decimal places.)
b. What is the beta of portfolio Q? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
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Introductory Econometrics A Modern Approach
Authors: Jeffrey M. Wooldridge
4th edition
978-0324660548
