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RA=3.28+1.10RM+eARB=1.4%+1.25RM+eBM=30%;R-squareA=0.28;R-squareB=0.12 Assume you create a portfolio Q, with investment proportions of 0.40 in a risky portfolio P,0.35 in the market index, and 0.25 in T-bill.
RA=3.28+1.10RM+eARB=1.4%+1.25RM+eBM=30%;R-squareA=0.28;R-squareB=0.12 Assume you create a portfolio Q, with investment proportions of 0.40 in a risky portfolio P,0.35 in the market index, and 0.25 in T-bill. Portfolio P is composed of 70% Stock A and 30% 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.) c. What is the "firm-specific" risk of portfolio Q? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 4 decimal places.)
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