The data below describe a three$-$stock financial market that satisfies the single$-$index

model.

Stock Capitalization Beta Mean Excess

Return

Standard

Deviation

A $3,0001\mathrm{.}010\%40\%$

B $1,9400\mathrm{.}22\%30\%$

C $1,3601\mathrm{.}717\%50\%$

The standard deviation of the market$-$index portfolio is $25\%.$

a$.$ What is the mean excess return of the index portfolio?

b$.$ What is the covariance between stock A and stock B$?$

c$.$ What is the covariance between stock B and the index?

d$.$ Break down the variance of stock B into its systematic and firm$-$specific components.