Suppose that the index model for stocks A and B is estimated from excess returns with the following results A- 3.80+ 1.25Ry + A Ra- -1.80 + 1.40 ON- 18 R-squarea0.24, R-aquaren- 0.IN Assume you create portfolo Pwith investment proportions of 0.60 in A and 0.40 in B. a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Porfolo beta

Suppose that the index model for stocks A and B is estimated from excess returns with the following results A- 3.80+ 1.25Ry + A Ra- -1.80 + 1.40 ON- 18 R-squarea0.24, R-aquaren- 0.IN Assume you create portfolo Pwith investment proportions of 0.60 in A and 0.40 in B. a. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Porfolo beta

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 6P

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