(Solved): Consider a single-index model. The index portfolio is \( \mathrm{M} \). There are 30 individual ri ...

Consider a single-index model. The index portfolio is \( \mathrm{M} \). There are 30 individual risky securities on the market. (1) Calculate the total number of parameters to implement the single-index model. (7 marks) (2) \( \sigma_{M}=0.18 \). The index model has been estimated for stock A with the following results: \( R_{A}=-0.01+1.3 R_{M}+e_{A} . \sigma\left(e_{A}\right)=0.16 \). Calculate the standard deviation of the return for stock A. (8 marks) (3) Following (2), calculate the percentage of systematic risk in the total risk for stock A. (8 marks)