This preview shows page 1. Sign up to view the full content.
Unformatted text preview: that the single index model holds. If the of your portfolio was 0.24 and M was 0.18, the of the portfolio would be approximately ________. 5.The index model has been estimated for stocks A and B with the following results: R A = 0.03 + 0.7R M + e A R B = 0.01 + 0.9R M + e B M = 0.35 (e A ) = 0.20 (e B ) = 0.10 The covariance between the returns on stocks A and B is ___________....
View Full Document
This note was uploaded on 01/26/2009 for the course FBE 441 taught by Professor Callahan during the Fall '07 term at USC.
- Fall '07