A Portfolio Consists of One Risky Asset and One Risk-Free

question 46

Multiple Choice

A portfolio consists of one risky asset and one risk-free asset. The risky asset has an expected return of 13.2% and a beta of 1.32. The risk-free asset has an expected return of 1.5%. How much of the portfolio is invested in the risk-free asset if the portfolio beta is 1.02?

• A)16%
• B)23%
• C)32%
• D)45%
• E)54%

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