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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 4 . 0 0
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA RM eA RB RM eB sigma M ; RsquareA ; RsquareB Assume you create a portfolio Q with investment proportions of in a risky portfolio P in the market index, and in Tbill. Portfolio P is composed of Stock A and Stock B Required: What is the standard deviation of portfolio Q Note: Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as Do not round intermediate calculations. Round your answer to decimal places. What is the beta of portfolio Q Note: Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as Do not round intermediate calculations. Round your answer to decimal places. What is the "firmspecific" risk of portfolio Q Note: Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as Do not round intermediate calculations. Round your answer to decimal places. What is the covariance between the portfolio and the market index? Note: Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as Do not round intermediate calculations. Round your answer to decimal places.A
Suppose that the index model for stocks A and B is estimated from excess returns with the following results:
RA RM eA
RB RM eB
sigma M ; RsquareA ; RsquareB
Assume you create a portfolio Q with investment proportions of in a risky portfolio P in the market index, and in Tbill. Portfolio P is composed of Stock A and Stock B
Required:
What is the standard deviation of portfolio Q
Note: Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as Do not round intermediate calculations. Round your answer to decimal places.
What is the beta of portfolio Q
Note: Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as Do not round intermediate calculations. Round your answer to decimal places.
What is the "firmspecific" risk of portfolio Q
Note: Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as Do not round intermediate calculations. Round your answer to decimal places.
What is the covariance between the portfolio and the market index?
Note: Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as Do not round intermediate calculations. Round your answer to decimal places.A
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