Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Jul 28, 2024

Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 2.60% + 0.90RM +

Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 2.60% + 0.90RM + eA RB = -2.00% + 1.20RM + eB M = 26%; R-squareA = 0.21; R-squareB = 0.12. Assume you create portfolio P with investment proportions of 0.70 in A and 0.30 in B.

What is the standard deviation of the portfolio?

Beta of the portfolio?

Firm-specific variance?

Covariance?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

Get Instant Access with AI-Powered Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

Step: 3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Students also viewed these Finance questions

Question

Here are data from a small bookstore The regression line is: Sales = 8.10 + 0.9134 Number of Salespeople Working. The assumptions and conditions for regression are met, and from technology we learn...

Answered: 1 week ago

Question

★★★★★

Using the following accounts, prepare a single-step income statement at year end, May 31, 2014: Cost of Goods Sold, $1,680; General Expenses, $900; Interest Expense, $420; Interest Income, $180; Net...

Answered: 1 week ago

Question

★★★★★

Find how much money should be deposited in a bank paying interest at the rate of 5.5%/year compounded quarterly so that at the end of 5 years, the accumulated amount will be $70,000. (Round your...

Answered: 1 week ago

Question

★★★★★

#1. Low Demand ./ 5 $ 10000 Large Cushion High Demand [ .3) 6 $ 15000 Low Demand ( .7) 7 21000 1 Medium Cushion 3 High Demand [ 31 8 $-10000 Low Demand [.7) 9 $ 18000 Small Cushion High Demand [.3)...

Answered: 1 week ago

Question

★★★★★

Flip a coin 100 times and set X = # of heads. (a) How many sequences of 100 coin flips include exactly 50 heads? (b) What is the probability of a single sequence of 100 flips with exactly 50 heads?...

Answered: 1 week ago

Question

★★★★★

Under ERISA, which is the federal law that governs private pension plans, employees typcially must become \"vested\' in their benefits within how many years?

Answered: 1 week ago

Question

★★★★★

You've been hired as an organizational behavior consultant. An organization is grappling with an environment that has n ineffective culture. Growth is stagnant or declining. People are leaving their...

Answered: 1 week ago

Question

★★★★★

a. Government declares a compulsory festival bonus of 10000/- to all workers working in the country. Explain the likely impact on the demand for refrigerators in the country?

Answered: 1 week ago

Question

★★★★★

Imagining that you are a human resources manager, write a email to all those who report to you informing them that late arrivals, long lunches, and overly casual workplace clothes and behavior will...

Answered: 1 week ago

Previous Question Next Question