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The standard deviation of the market - index portfollo is 4 5 % . Stock A has a beta of 1 . 2 0 and
The standard deviation of the marketindex portfollo is Stock A has a beta of and a residual standard deviation of
Required:
a Calculate the total varlance for an increase of in its beta.
Note: Do not round Intermedlate calculations.
Answer is complete and correct.
b Calculate the total varlance for an increase of percentage points in its residual standard deviation.
Note: Do not round Intermedlate calculations.
Answer is complete but not entirely correct.
Total variance
Only answer part B
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