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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA=2.2%+0.80RM+eARB=2.2%+1.20RM+eBM=24%;RsquareA=0.16;RsquareB=0.12 Assume you create a portfolio

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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA=2.2%+0.80RM+eARB=2.2%+1.20RM+eBM=24%;RsquareA=0.16;RsquareB=0.12 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 ? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 2 decimal places.) b. What is the beta of portfolio Q ? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

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