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Expected Return Standard Deviation Beta Portfolio A 10.3% 9.1% 1.3 Portfolio B 7.9% 6.3% 0.9 Assume a single-factor model and the above well-diversified portfolios A

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Expected Return Standard Deviation Beta Portfolio A 10.3% 9.1% 1.3 Portfolio B 7.9% 6.3% 0.9 Assume a single-factor model and the above well-diversified portfolios A and B are on the SML, find the beta of an asset which has standard deviation of 11.21% and firm-specific risk of 7.29%

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