Suppose that the index model for stocks a and b is, Ask an Expert

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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3% + 1.05RM + eA RB = -1.2% + 1.2RM + eB sM = 29%; R-squareA = 0.29; R-squareB = 0.14

Assume you create portfolio P with investment proportions of 0.60 in A and 0.40 in B.

What is the standard deviation of the portfolio?

What is the beta of your portfolio?

What is firm specific variance of your portfolio?

What is covariance between the portfolio and the market index?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92850491

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