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The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 12...
The following are estimates for two stocks.
| Stock | Expected Return | Beta | Firm-Specific Standard Deviation | ||||
| A | 12 | % | 0.65 | 26 | % | ||
| B | 20 | 1.15 | 36 | ||||
The market index has a standard deviation of 20% and the risk-free rate is 7%.
a. What are the standard deviations of stocks A and B? (Do not round intermediate calculations. Round your answers to 2 decimal places.)
b. Suppose that we were to construct a
portfolio with proportions:
| Stock A | 0.40 |
| Stock B | 0.40 |
| T-bills | 0.20 |
Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio. (Do not round intermediate calculations. Enter your answer for Beta as a number, not a percent. Round your answers to 2 decimal places.)
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jeff jeffy answered 1 year agoRelated Solutions
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 10...
The following are estimates for two stocks.
Stock
Expected Return
Beta
Firm-Specific Standard Deviation
A
10
%
1.00
35
%
B
16
1.50
44
The market index has a standard deviation of 21% and the risk-free
(T-Bills are risk free) rate is 12%.
a. What are the standard deviations of stocks
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calculations. Round your answers to 2 decimal
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b. Suppose that we were to construct a portfolio
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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
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Stock A 0.31
Stock B 0.42
The remaining proportion is invested in T-bills.
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Round your answer to 4 decimal places. For example if your
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The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 11...
The following are estimates for two stocks.
Stock
Expected Return
Beta
Firm-Specific Standard Deviation
A
11
%
0.90
32
%
B
16
1.40
40
The market index has a standard deviation of 19% and the
risk-free rate is 11%.
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A and B? (Do not round intermediate
calculations. Round your answers to 2 decimal
places.)
b. Suppose that we were to construct a
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Stock A
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The following are estimates for 2 stocks.
Stock
Expected ret.
beta
firm-specific variance, or Var(e)
A
13%
0.6
0.4
B
18%
0
0.35
The market index has a standard deviation of 0.13, and the
risk-free rate if 0.03
What is the standard deviation of stock A's
return?
What is the standard deviation of stock B's
return?
Please round both answers to 4 decimal places.
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28.95
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of the minimum variance portfolio? (Do not round
intermediate calculations. Enter your answer as a percent rounded
to 2 decimal places.)
Expected Return:________%
Standard Deviation:_________%
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