Question
The standard deviation of the market-index portfolio is 25%. Stock A has a beta of 1.60 and a residual standard deviation of 35%. a. Calculate
The standard deviation of the market-index portfolio is 25%. Stock A has a beta of 1.60 and a residual standard deviation of 35%.
a. Calculate the total variance for an increase of 0.20 in its beta. (Do not round intermediate calculations. Round your answer to the nearest whole number.)
Total variance %-Squared
b. Calculate the total variance for an increase of 5.62% in its residual standard deviation.
(Do not round intermediate calculations. Round your answer to the nearest whole number.)
Total variance %-Squared
ReferenceseBook & Resources WorksheetLearning Objective: 06-05 Use index models to analyze the risk and return characteristics of securities and portfolios.
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Financial Management In Construction Contracting
Authors: Andrew Ross, Peter Williams
1st Edition
1405125063, 9781405125062
