The following are estimates for two stocks.. Stock Expected Return A B 0.16 0.24 Beta 0.77 1.33 firm-specific Standard Deviation. 0.31 0.41 The market index has a standard deviation of 0.16 and the risk-free rate is 0.08. Suppose that we were to construct a portfolio with proportions: Stock A 0.32 Stock B 0.43 The remaining proportion is invested in Tbills Compute the nonsystematic 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 Expected Return A B 0.16 0.24 Beta 0.77 1.33 firm-specific Standard Deviation. 0.31 0.41 The market index has a standard deviation of 0.16 and the risk-free rate is 0.08. Suppose that we were to construct a portfolio with proportions: Stock A 0.32 Stock B 0.43 The remaining proportion is invested in Tbills Compute the nonsystematic 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.
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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Transcribed Image Text:The following are estimates for two stocks.
Stock Expected Return
A
B
0.16
0.24
Beta
0.77
1.33
firm-specific Standard Deviation
0.31
0.41
The market index has a standard deviation of 0.16 and the risk-free rate is 0.08.
Suppose that we were to construct a portfolio with proportions:
Stock A 0.32
Stock B 0.43
The remaining proportion is invested in Tbills
Compute the nonsystematic 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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