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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA=1.00%+0.45RM+eARB=1.00%+1.00RM+eBM=16%;R-squareA=0.28;R-squaresquB=0.21 Assume you create portfolio P
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA=1.00%+0.45RM+eARB=1.00%+1.00RM+eBM=16%;R-squareA=0.28;R-squaresquB=0.21 Assume you create portfolio P with investment proportions of 0.60 in A and 0.40 in B. a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) b. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA=1.00%+0.45RM+eARB=1.00%+1.00RM+eBM=16%;R-squareA=0.28;R-squaresquB=0.21 Assume you create portfolio P with investment proportions of 0.60 in A and 0.40 in B. a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) b. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)
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Finance Directors Handbook
Authors: Glynis D Morris, Sonia McKay, Andrea Oates
5th Edition
1566768691, 978-1566768696
