8. Portfolio beta and weights Gregory is an analyst at a wealth management firm. One of his clients holds a $7,500 portfolio that consists of four stocks. The investment allocation in the portfolio along with the contribution of risk from each stock is given in the following table: Investment Allocation 35% Standard Deviation 38.00% 42.00% 45.00% 49.00% Stock Beta Atteric Inc. (AI) Arthur Trust Inc. (AT) Li Corp. (LC) Baque Co. (BC) 0.600 -20% 1.500 15% 30% 1.200 0.300- Gregory calculated the portfolio's beta as 0.780 and the portfolio's expected return as 11.85%. Gregory thinks it will be a good idea to reallocate the funds in his cient's portfolio. He recommends replacing Atteric Inc. 's shares with the same amount in additional shares of Baque Co. The risk-free rate is 6%, and the market risk premium is 7.50%. According to Gregory's recommendation, assuming that the market is in equilibrium, how much will the portfolio's required return change? 0.91 percentage points 0 0.62 percentage points O 0.98 percentage points O 0.79 percentage points