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

R_A = 3.00% + 1.05R_M + e_A

R_B = -1.20% + 1.20R_M + e_B

_M = 29%; R-square_A = 0.29; R-square_B = 0.14

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.) Standard deviation 0 % b. What is the beta of your portfolio? (Do not round your Intermediate calculations. Round your answer to 2 decimal places.) Portfolio beta c. What is the firm-specific variance of your portfolio? (Do not round your Intermediate calculations. Round your answer to 4 decimal places.) Firm-specific d. What is the covarlance between the portfolio and the market Index? (Do not round your intermediate calculations. Round your answer to 3 decimal places.) Covariance