The following are estimates for two stocks.

Stock	Expected Return			Beta	Firm-Specific Standard Deviation
A		11	%	0.90		32	%
B		16		1.40		40

The market index has a standard deviation of 19% and the risk-free rate is 11%.

a. What are the standard deviations of stocks A and B?

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.)