Assets A & B have standard deviations of 10% and 12% respectively and have a correlation coefficient of 0.25. The expected return of A is 18% and the expected return od B is 20%. The market portfolio has a standard deviation of 15%. The correlation between A and the market portfolio is 0.3 and the correlation between B and the market portfolio is 0.5.

Which of the following is correct regarding the beta of portfolio A and beta of portfolio B?

A) beta A = 0.2:beta B = 0.4

B) cant tell from the information given - you need the retun data to run regression to determine the betas of A & B

c) beta A= beta B=1

d) beta A=.10/.15=0.667; BETA b= .12/.15=0.8

e) beta A= 0.4; beta B=0.2