Suppose that the index model for stocks A and B is estimated from excess returns with the following results: R_A = 1.00% + 0.45R_M + e_A R_B = -1.00% + 1.00R_M + e_{B M} = 16%; R-square_A = 0.28; R-square_B = 0.21 Assume you create portfolio P with investment proportions of 0.60 in A and 0.40 in B. a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)

b. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)

c. What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 decimal places.)

d. What is the covariance between the portfolio and the market index? (Do not round your intermediate calculations. Round your answer to 3 decimal places.)