1. Use the following for problems 6-10.

   Stock A has an annual expected return of 8%, a beta of .9, and a firm-specific volatility of 50% Stock B has an annual expected return of 9%, a beta of 1.3, and a firm-specific volatility of 40% The market has a standard deviation of 20%, and the risk-free rate is is 2%.

2. QUESTION 6: What is the volatility of stock A? (in %)

QUESTION 7

1. Suppose we construct a portfolio built out of 50% stock A, 30% stock B, and 20% government t-bills.

   What is the expected return of this portfolio? (in %)

QUESTION 8

1. What is the beta of this portfolio? (round to 2 decimal places)

QUESTION 9

1. What is the non-systematic variance of the portfolio? (round to 3 decimal places)

QUESTION 10

1. What is the total volatility of the portfolio? (in %, round to 1 decimal place)