Question
The standard deviation of the market-index portfolio is 20%. Stock A has a beta of 2.50 and a residual standard deviation of 30%. a. Calculate
The standard deviation of the market-index portfolio is 20%. Stock A has a beta of 2.50 and a residual standard deviation of 30%.
a. Calculate the total variance for an increase of 0.25 in its beta. (Do not round intermediate calculations. Round your answer to the nearest whole number.)
Total Variance =
b. Calculate the total variance for an increase of 7.75% in its residual standard deviation. (Do not round intermediate calculations. Round your answer to the nearest whole number.)
Total Variance =
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Financial Mathematics
Authors: Cacildo Marques
1st Edition
8741574710, 979-8741574713
