Saved Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA= 2.8 % + 1.00RM + eA RB = -1% + 1.3RM + eB OM = 18%; R-squareд = 0.27; R-squareg = 0.13 Assume you create portfolio P with investment proportions of 0.70 in A and 0.30 in B. 1. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Standard deviation Help Save & Exit 2. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Portfolio beta Covariance 3. What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 decimal places.) Firm-specific 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.)
Saved Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA= 2.8 % + 1.00RM + eA RB = -1% + 1.3RM + eB OM = 18%; R-squareд = 0.27; R-squareg = 0.13 Assume you create portfolio P with investment proportions of 0.70 in A and 0.30 in B. 1. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Standard deviation Help Save & Exit 2. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.) Portfolio beta Covariance 3. What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 decimal places.) Firm-specific 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.)
Database System Concepts
7th Edition
ISBN:9780078022159
Author:Abraham Silberschatz Professor, Henry F. Korth, S. Sudarshan
Publisher:Abraham Silberschatz Professor, Henry F. Korth, S. Sudarshan
Chapter1: Introduction
Section: Chapter Questions
Problem 1PE
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Transcribed Image Text:Suppose that the index model for stocks A and B is estimated from excess returns with the following results:
RA = 2.8% + 1.00RM + eA
RB = -1% + 1.3RM + eB
OM =
18%; R-squareд =
0.27; R-squareg = 0.13
Saved
Assume you create portfolio P with investment proportions of 0.70 in A and 0.30 in B.
1. What is the standard deviation of the portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal
places.)
Standard deviation
%
Help Save & Exit
Covariance
2. What is the beta of your portfolio? (Do not round your intermediate calculations. Round your answer to 2 decimal places.)
Portfolio beta
3. What is the firm-specific variance of your portfolio? (Do not round your intermediate calculations. Round your answer to 4 decimal
places.)
Firm-specific
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.)
K
S
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