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The following are estimates for 2 stocks. Stock Expected ret. beta firm-specific variance, or Var(e) A 13% 1.8 0.4 B 18% 0 0.37 The market
The following are estimates for 2 stocks.
| Stock | Expected ret. | beta | firm-specific variance, or Var(e) |
| A | 13% | 1.8 | 0.4 |
| B | 18% | 0 | 0.37 |
The market index has a standard deviation of 0.16, and the risk-free rate if 0.05
What is the standard deviation of stock B's return?
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Alternative Decision Making Models For Financial Portfolio Management Emerging Research And Opportunities
Authors: Narela Spaseski
1st Edition
1522532595,1522532609
