Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R_A = 3% + 0.7R_M + e_A R_B = 2% + 1.2R_M + e_{B M} = 20%; R-square_A = 0.20; R-square_B = 0.12 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.) c. What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 decimal places.) d. What is the covariance between the portfolio and the market index? (Do not round your intermediate calculations. Round your answer to 3 decimal places.)

Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA=3%+0.7RM+eARB=2%+1.2RM+eBM=20%;RsquareA=0.20;RsquareB=0.12 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.) d. What is the covariance between the portfolio and the market index? (Do not round your intermediate calculations. Round your answer to 3 decimal places.)