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
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter3: Risk And Return: Part Ii
Section: Chapter Questions
Problem 3P: Two-Asset Portfolio
Stock A has an expected return of 12% and a standard deviation of 40%. Stock B...
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