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

$R_A=3\%+0\mathrm{.}7R_M+e_A$

$R_B=-2\%+1\mathrm{.}2R_M+e_B$

${}_M=20\%$;$R-$square ${?}_{(}()()A)=0\mathrm{.}20$;$R-$square ${?}_{(}()()B)=0\mathrm{.}12$

Assume you create portfolio $P$ with investment proportions $of0\mathrm{.}60in$ A and $0\mathrm{.}40inB.$

Required:

$a.$ What $is$ the standard deviation $of$ the portfolio?

Note: $Do$ not round your intermediate calculations. Round your answer $to2$ decimal places. Calculate using numbers $in$ decimal

form, not percentages. For example use $"20"$ for calculation $if$ standard deviation $is$ provided $as20\%.$

$b.$ What $is$ the beta $of$ your portfolio?

Note: $Do$ not round your intermediate calculations. Round your answer $to2$ decimal places. Calculate using numbers $in$ decimal

form, not percentages. For example use $"20"$ for calculation $if$ standard deviation $is$ provided $as20\%.$

$c.$ What $is$ the firm$-$specific variance $of$ your portfolio?

Note: $Do$ not round your intermediate calculations. Round your answer $to2$ decimal places. Calculate using numbers $in$ decimal

form, not percentages. For example use $"20"$ for calculation $if$ standard deviation $is$ provided $as20\%.$

$d.$ What $is$ the covariance between the portfolio and the market index?

Note: $Do$ not round your intermediate calculations. Calculate using numbers $in$ decimal form, not percentages. For example use

$"20"$ for calculation $if$ standard deviation $is$ provided $as20\%.$

Answer $is$ complete but not entirely correct.