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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R A = 2 . 2
Suppose that the index model for stocks A and is estimated from excess returns with the following results: ;square ;square Assume you create portfolio with investment proportions of in A and in Required: a What is the standard deviation of the portfolio? Note: Do not round your intermediate calculations. Round your answer to decimal places. Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as b What is the beta of your portfolio? Note: Do not round your intermediate calculations. Round your answer to decimal places. Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as c What is the firmspecific variance of your portfolio? Note: Do not round your intermediate calculations. Round your answer to decimal places. Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as d What is the covariance between the portfolio and the market index? Note: Do not round your intermediate calculations. Round your answer to decimal places. Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as
Suppose that the index model for stocks A and is estimated from excess returns with the following results:
;square ;square
Assume you create portfolio with investment proportions of in A and in
Required:
a What is the standard deviation of the portfolio?
Note: Do not round your intermediate calculations. Round your answer to decimal places. Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as
b What is the beta of your portfolio?
Note: Do not round your intermediate calculations. Round your answer to decimal places. Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as
c What is the firmspecific variance of your portfolio?
Note: Do not round your intermediate calculations. Round your answer to decimal places. Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as
d What is the covariance between the portfolio and the market index?
Note: Do not round your intermediate calculations. Round your answer to decimal places. Calculate using numbers in decimal form, not percentages. For example use for calculation if standard deviation is provided as
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