Suppose that the index model for stocks A and B is estimated from excess returns with the following results:

R_A = 2.5% + 0.60R_M + e_A

R_B = 1.5% + 0.70R_M + e_B

_M = 19%; R-square_A = 0.24; R-square_B = 0.18

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

B. What is the beta of Portfolio Q

C. What is the "firm-specific" risk of Portfolio Q

D. What is the covariance between the portfolio and the market index

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