Suppose that the index model for stocks A and B is estimated from excess returns with the following results RA 0.03+0.6RM EA Assume that M = 0.2 and Ra = 0.2 and R1-0.12 1. What is the standard deviation of each stock? 2. Break down the variance of each stock to the systematic and firm-specific components. 3. What are the covariance and correlation coefficient between the two stocks? 4. What is the covariance between each stock and the market index? 5. What would be the systematic variance of the portfolio that invests 60% to A and 40% to B. Suppose that the index model for stocks A and B is estimated from excess returns with the following results RA 0.03+0.6RM EA Assume that M = 0.2 and Ra = 0.2 and R1-0.12 1. What is the standard deviation of each stock? 2. Break down the variance of each stock to the systematic and firm-specific components. 3. What are the covariance and correlation coefficient between the two stocks? 4. What is the covariance between each stock and the market index? 5. What would be the systematic variance of the portfolio that invests 60% to A and 40% to B