A Stock Has a Beta of 1

question 35

Multiple Choice

A stock has a beta of 1.2 and an expected return of 17 percent.A risk-free asset currently earns 5.1 percent.The beta of a portfolio comprised of these two assets is 0.85.What percentage of the portfolio is invested in the stock?

• A)71 percent
• B)77 percent
• C)84 percent
• D)89 percent
• E)92 percent

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