The following are estimates for two stocks. Stock A B Expected Return 0.16 0.19 Beta 0.84 1.23 firm-specific Standard Deviation 0.27 0.38 The market index has a standard deviation of 0.21 and the risk-free rate is 0.03. Suppose that we were to construct a portfolio with proportions: Stock A 0.34 Stock B 0.44 The remaining proportion is invested in Tbills Compute the standard deviation of the portfolio. Round your answer to 4 decimal places. For example if your answer is 3.205 %, then please write down 0.0321.

The following are estimates for two stocks. Stock A B Expected Return 0.16 0.19 Beta 0.84 1.23 firm-specific Standard Deviation 0.27 0.38 The market index has a standard deviation of 0.21 and the risk-free rate is 0.03. Suppose that we were to construct a portfolio with proportions: Stock A 0.34 Stock B 0.44 The remaining proportion is invested in Tbills Compute the standard deviation of the portfolio. Round your answer to 4 decimal places. For example if your answer is 3.205 %, then please write down 0.0321.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 6P

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Question

The following are estimates for two stocks.
Expected Return
Stock
A
B
0.16
0.19
Beta
0.84
1.23
firm-specific Standard Deviation
0.27
0.38
The market index has a standard deviation of 0.21 and the risk-free rate is 0.03.
Suppose that we were to construct a portfolio with proportions:
Stock A 0.34
Stock B 0.44
The remaining proportion is invested in Tbills
Compute the standard deviation of the portfolio.
Round your answer to 4 decimal places. For example if your answer is 3.205%, then please write
down 0.0321.

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