A stock is expected to have an alpha of 1.70%, an expected return of 8.02%, and a standard deviation of 31.83%. The market has an expected return of 16.40% and a standard deviation of 32.20%. The risk free rate is 3.90%. What is the standard deviation of the non-systematic component of the stock's return under the single index model? O a. 21.13% O b. 19.34% O c. 27.62% O d. 31.21% e. 22.54% O f. 29.97% g. 26.10% h. 24.13%

A stock is expected to have an alpha of 1.70%, an expected return of 8.02%, and a standard deviation of 31.83%. The market has an expected return of 16.40% and a standard deviation of 32.20%. The risk free rate is 3.90%. What is the standard deviation of the non-systematic component of the stock's return under the single index model? O a. 21.13% O b. 19.34% O c. 27.62% O d. 31.21% e. 22.54% O f. 29.97% g. 26.10% h. 24.13%

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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