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The following are estimates for two stocks. Stock Expected Return Beta firm-specific Standard Deviation A 0.14...

The following are estimates for two stocks.

Stock

Expected Return

Beta

firm-specific Standard Deviation

A

0.14

0.67

0.25

B

0.20

1.21

0.37


The market index has a standard deviation of 0.21 and the risk-free rate is 0.09.

Suppose that we were to construct a portfolio with proportions:
Stock A 0.31
Stock B 0.42
The remaining proportion is invested in T-bills.


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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jeff jeffy answered 1 year ago
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