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Suppose that the index model for stocks A and B is estimated from excess returns with the following results:Suppose that the Index model for stocks
Suppose that the index model for stocks A and B is estimated from excess returns with the following results:Suppose that the Index model for stocks A and B is estimated from excess returns with the following results:
Assume you create portfolio with Investment proportions of in A and in
a What is the standard deviation of the portfolio? Do not round your Intermedlate calculatlons. Round your answer to decimal
places.
Standard deviation
b What is the beta of your portfolio? Do not round your Intermedlate calculations. Round your answer to decimal places.
Portfolio beta
c What is the firmspecific varlance of your portfolio? Do not round your Intermedlate calculations. Round your answer to decimal
places.
Firmspecific
d What is the covarlance between the portfolio and the market Index? Do not round your Intermedlate calculations. Round your
answer to decimal places.
Covariance
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