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 unsure

O a. 0.533 and 0.67%

O b. 0.847 and 0.67%

O c. 0.533 and 2.34%

O d. 0.533 and 1.67%

O e. 0.847 and 1.67%