Assume that the market portfolio is equally likely to increase by 10%, remain stable or

decrease by 5%. Security "Save" goes up on average by 6% when the market goes up,

increases by 0.67% when the market doesn't change and goes down by 2% when the

market goes down.

What is the Beta of the stock? What is the implied risk free rate if the CAPM holds?

(Note: please retain at least 4 decimal places in your calculations.)

O a. 0.533 and 2.34%

O b. 0.533 and 1.67%

O c. 0.847 and 0.67%

O d. 0.847 and 1.67%

O e.

0.533 and 0.67%