9. Jane's portfolio consists of three stocks (A, B and C) and the short-term Commonwealth government bond. Covariance of stock A with market is 0.019, covariance of stock B with market is 0.0241, covariance of stock C with the market is 0.029. Portfolo weights of stocks A, B and C are 0.3, 0.25, and 0.15, respectively. The standard deviation of market portfolio is 20%. CAPM beta of Jane's portfolio is (a) 0.64 (b) 0.60 (c) 0.40 (d) cannot answer the question without knowing the yield of the government bond