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

RA $=3\mathrm{.}80\%+1\mathrm{.}25$RM $+$ eA

RB $=-1\mathrm{.}80\%+1\mathrm{.}60$RM $+$ eB

$\backslash$sigma M $=18\%$; R$-$squareA $=0\mathrm{.}24$; R$-$squareB $=0\mathrm{.}18$

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

Required:

What is the standard deviation of the portfolio?

Note: Do not round your intermediate calculations. Round your answer to $2$ decimal places. Calculate using numbers in decimal form, not percentages. For example use $"20"$ for calculation if standard deviation is provided as $20\%.$

What is the beta of your portfolio?

Note: Do not round your intermediate calculations. Round your answer to $2$ decimal places. Calculate using numbers in decimal form, not percentages. For example use $"20"$ for calculation if standard deviation is provided as $20\%.$

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

Note: Do not round your intermediate calculations. Round your answer to $3$ decimal places. Calculate using numbers in decimal form, not percentages. For example use $"20"$ for calculation if standard deviation is provided as $20\%.$

What is the covariance between the portfolio and the market index?

Note: Do not round your intermediate calculations. Round your answer to $2$ decimal places. Calculate using numbers in decimal form, not percentages. For example use $"20"$ for calculation if standard deviation is provided as $20\%.$