Consider the following two portfolios. Portfolio A

has an expected return of $12\%,$ a standard

deviation of returns is $32\%,$ and a beta of $1\mathrm{.}5.$

Portfolio $B$ has an expected return of $7\mathrm{.}5\%.$ The

risk$-$free rate is $3\mathrm{.}5\%.$ Assuming the CAPM holds,

and Portfolio A and $B$ are fairly priced, then

Portfolio A has a beta of

Select one:

a$.1\mathrm{.}12$

b$.0\mathrm{.}61$

c$.$ None of the answers are correct

d$.0\mathrm{.}98$

e$.0\mathrm{.}71$