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
icon
Related questions
Question

Please send me answer within 10 min!! I will rate you good for sure!! Please solve all questions with explanation!!

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
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
Expert Solution
trending now

Trending now

This is a popular solution!

steps

Step by step

Solved in 2 steps with 1 images

Blurred answer
Knowledge Booster
Intangible cost
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, computer-science and related others by exploring similar questions and additional content below.
Similar questions
Recommended textbooks for you
Database System Concepts
Database System Concepts
Computer Science
ISBN:
9780078022159
Author:
Abraham Silberschatz Professor, Henry F. Korth, S. Sudarshan
Publisher:
McGraw-Hill Education
Starting Out with Python (4th Edition)
Starting Out with Python (4th Edition)
Computer Science
ISBN:
9780134444321
Author:
Tony Gaddis
Publisher:
PEARSON
Digital Fundamentals (11th Edition)
Digital Fundamentals (11th Edition)
Computer Science
ISBN:
9780132737968
Author:
Thomas L. Floyd
Publisher:
PEARSON
C How to Program (8th Edition)
C How to Program (8th Edition)
Computer Science
ISBN:
9780133976892
Author:
Paul J. Deitel, Harvey Deitel
Publisher:
PEARSON
Database Systems: Design, Implementation, & Manag…
Database Systems: Design, Implementation, & Manag…
Computer Science
ISBN:
9781337627900
Author:
Carlos Coronel, Steven Morris
Publisher:
Cengage Learning
Programmable Logic Controllers
Programmable Logic Controllers
Computer Science
ISBN:
9780073373843
Author:
Frank D. Petruzella
Publisher:
McGraw-Hill Education