Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. finance
  3. suppose that the index model for stocks a and b is

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

70.2K

Verified Solution

Question

Finance

image

Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA=2.50+0.95RM+eARB=1.80z+1.10RM+eBM=27z;RsquareA=0.23;RsquareB=0.11 Assume you create portfolio P with 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.) c. What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 decim places.) Firm-specific d. What is the covariance between the portfolio and the market index? (Do not round your intermediate calculations. Round your answer to 3 decimal places.)

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students