rA -rf = -0.02 + 1.2 (rM - rf) +eA, OM = 0.2 and R2A = 0.64. What is the stock's alpha? (Format of the answer: 0.050 - in decimals, round to 3 digits.) What is the stock's beta? (Format of the answer: 0.80 -- in decimals, round to 2 digits.) What is the stock's standard deviation? (Format of the answer: 0.350 -- in decimals, round to 3 digits.) What is the stock's systematic variance? (Format of the answer: 0.3500 -- in decimals, round to 4 digits.) What is the stock's firm-specific variance? (Format of the answer: 0.3500 -- in decimals, round to 4 digits.) What is the stock's correlation coefficient with the market? (Format of the answer: 0.35 -- in decim... 2. Use the following information for the next two questions. (Each is worth 1 bonus pt, do them only when you are done with the others.) An investor, who has the utility function U = E(r) -.005A02, consider the following investments: Expected Return E(r) Standard Deviation Investment B C D 15 18 12 20 The index model for stock A has been estimated with the following result: 30 10 Suppose that the investor prefers investment B to C and investment C to D. a) What is the smallest possible value of his risk-aversion parameter A? (Format of the answer: 3.50-round to 2 digits.) b) What is the largest possible value of his risk-aversion parameter A? (Format of the answer: 3.50--round to 2 digits.)