What is covariance between the portfolio and market index

Assignment Help Financial Management

Reference no: EM132012843

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?

Reference no: EM132012843

Questions Cloud

What is the amount of each withdrawal : How much is in the account after the last deposit is made? How much was deposited?

Design a database schema : Describe various data modelling and database system technologies - Explain the main concepts for data modelling and characteristics of database systems

Accident the periosteum and the muscle : Predict what would happen if during an accident the periosteum and the muscle were removed from a side of a long bone that is broken.

How much money will you have after 8 years : suppose you invgest $4,500 today in an account that earns a nominal annual rate(i nom) of 16 percent with interest compounded semiannually.

What is covariance between the portfolio and market index : What is the standard deviation of the portfolio? What is the beta of your portfolio? What is firm specific variance of your portfolio?

Calculate the standard deviation of the returns : Std Deviation of a portfolio having a stock and a risk free security = Ws*SDs = 0.50 * 20% = 10% ## Ws = Weight of security SDs = Std deviation of security

What forces might tend to equalize rates : Suppose interest rates on residential mortgages of equal risk are 5.5% in California and 7% in New York. Could this differential persist?

Write report about Sheikh Zayed Desert Learning Centre : Write report about Sheikh Zayed Desert Learning Centre. The report should be minimum 5 pages and maxima 10 pages

Could this differential persist and would those differential : Could this differential persist and would those differentials in borrowing costs for businesses of equal risk located in California.

User Account

All Pages