What is the standard deviation of the portfolio

Assignment Help Business Management

Reference no: EM13971501

Suppose that the index model for stocks A and B is estimated from excess returns with the following results:

RA = 1.5% + 0.55RM + eA
RB = 1.4% + 0.6RM + eB
A?A?M = 18%; R-squareA = 0.25; R-squareB = 0.16

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

1. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places. Omit the "%" sign in your response.)

2. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)

3. What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 decimal places.)

4. What is the covariance between the portfolio and the market index? (Do not round your intermediate calculations. Round your answer to 3 decimal places.)

Reference no: EM13971501

Questions Cloud

Prepare a monthly payment schedule showing the monthly : Pittman Corporation purchased a building by signing a $75,000 long-term mortgage with monthly payments of $1,000. The mortgage carries an interest rate of 12 percent. Prepare a monthly payment schedule showing the monthly payment, the interest for th..

Tools and techniques for collecting real or anticipated data : A brief evaluation of the most appropriate tools and techniques for collecting real or anticipated data for your OIP. An explanation of why the data collection tool you have chosen is best suited for your OIP

Which expenses are budgeted to increase the most : Telephone and mailing expenses are scheduled to increase by 8 percent even with no change in sales volume. However, these costs are variable with the number of units sold, as are packaging and delivery costs.

Why are ratings important to businesses that issue bonds : What is the difference between an A-rated bond and a B-rated bond? Why are ratings important to businesses that issue bonds?

What is the standard deviation of the portfolio : What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Propose a taxable acquisition structure : Compare the long-term tax benefits and advantages of each type of reorganization, and recommend the type of reorganization that will be most beneficial to the client - Examine the value and limitations of including the ABC Corporation

How to create a video story with premiere pro : "How to create a video story with Premiere Pro" Video needs to be about lululemon. Basic information as a marketing tool is perfect

Who are the stakeholders in this situation : How might the partnership agreement be revised to accommodate the differences in Alexandra's and Kellie's work and withdrawal habits

Design substantive procedures for detecting irregularities : Design substantive procedures for detecting inventory irregularities. Design substantive procedures for detecting irregularities in fixed assets.

User Account

All Pages