Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 4.00% + 0.50RM + eA RB = -1.20% + 0.70RM + eB M = 17%; R-squareA = 0.26; R-squareB = 0.18 Assume you create portfolio P with investment proportions of 0.70 in A and 0.30 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.)