compute the expected return standard deviation beta and nonsystematic standard devia 551809
The following are estimates for two of the stocks in problem 1.
|
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compute the expected return standard deviation beta and nonsystematic standard devia 551809
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|
Expected Return |
Beta |
Firm-Specific Standard Deviation |
|
A |
13 |
0.8 |
30 |
|
B |
18 |
1.2 |
40 |
The market index has a standard deviation of 22% and the risk-free rate is 8%.
a. What is the standard deviation of stocks A and B?
b. Suppose that we were to construct a portfolio with proportions:
|
Stock A: |
0.3 |
|
Stock B: |
0.45 |
|
T-bills: |
0.25 |
Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio.
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