The following are estimates for two stocks.

Stock Expected Return Beta Firm-Specific Standard Deviation A 12 % 0.65 27 % B 20 1.20 40

The market index has a standard deviation of 23% and the risk-free rate is 11%.

a. What are the standard deviations of stocks A and B? (Do not round intermediate calculations. Round your answers to 2 decimal places.)

Stock a = Stock b=

please put answer in %

b. Suppose that we were to construct a portfolio with proportions:

Stock A 0.40 Stock B 0.40 T-bills 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.)

expected Return= (in %)

Standard Deviation= (in %)

Beta=

Nonsystamatic Standard Deviation= (in %)