Derrick holds two stocks in his Portfolio: A and B. The portfolio beta is 1.40. Stock-A comprises 15 percent of the dollar value of her holdings (i.e., Portfolio weight for Stock-A is 15%) and has a beta of 1.20. Derrick's co-worker Shabazz, who is a shrewd investor, advised Derick to sell all of his investment in Stock-A and hold the money in Cash. (i.e., sell Stock A, and keep the money received from the sale as Cash). If Deriick follows Shabazz's advice, what will be his new portfolio beta?

Select one:

a. 0.18

b. 1.37

c. 0.20

d. 1.22