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Suppose that the index model for stocks A and B is estimated from excess returns...

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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA - 2,8% + 0.40 : A Re - -1.8% + 0.900 - 15%; R-squares = 0.30: R-squareg - 0.22 Assume you create a portfolio with investment proportions of 0.50 in a risky portfolio P. 0.20 in the market index, and 0.30 in T- bill Portfolio Pis composed of 70% Stock Aand 30% Stock B a. What is the standard deviation of portfolio ? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b. What is the beta of portfolio Q? (Do not round intermediate calculations. Round your answer to 2 decimal places.) b. What is the bota of portfolio ? (Do not round intermediate calculations. Round your answer to 2 decimal places) Portfolio Deta c. What is the firm specific risk of portfolio O (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations, Round your answer to 4 decimal places) Form-specinc d. What is the covariance between the portfolio and the market index? (Calculate using numbers in decimal form, not percentages. Do not round intermediate calculations. Round your answer to 2 decimal places) Covanance

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