1. Mr. Jones has a 2-stock portfolio with a total value of $560,000. $225,000 is invested in Stock A and the remainder is invested in Stock B. If standard deviation of Stock A is 20.40%, Stock B is 10.25%, and correlation between Stock A and Stock B is –0.80, what would be the expected risk on Mr. Jones’ portfolio (standard deviation of the portfolio return)?
Calcualte with at least 4 decimal places and round your answer to two decimal places. For example, if your answer is $345.6671 round as 345.67 and if your answer is .05718 or 5.7182% round as 5.72.
4.94%
4.79%
6.12%
3.90%
4.20%
2. In the context of the capital asset pricing model, the systematic measure of risk is captured by _________.
beta
the standard deviation of returns
unique risk
the variance of returns