A portfolio consists of one risky asset and one risk-free asset. The risky asset has an expected return of 11.2 percent and a beta of 1.39. The risk-free asset has an expected return of 3.4 percent. How much of the portfolio is invested in the risk-free asset if the portfolio beta is 1.07?

Select one:

a.17 percent

b.23 percent

c.28 percent

d.33 percent

e.25 percent