The following are estimates for two stocks. Stock A B Expected Return 11% 16 Beta 0.90 1.40 Firm-Specific Standard Deviation 32% 40 The market index has a standard deviation of 19% and the risk-free rate is 11%. b. Suppose that we were to construct a portfolio with proportions: Stock A Stock B T-bills 0.40 0.40 0.20 Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio. (Do not round intermediate calculations. Enter your answer for Beta as a number, not a percent. Round your answers to 2 decimal places.) X Answer is complete but not entirely correct. Expected return 13.00 % Standard deviation 23.78 X % Beta 0.92 Nonsystematic standard deviation 36.02