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From the following information determine the beta of the optimal portfolio: Asset Stock A Stock B Micro forecasts Expected return 23% 18% Beta 1.5 1.2

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From the following information determine the beta of the optimal portfolio: Asset Stock A Stock B Micro forecasts Expected return 23% 18% Beta 1.5 1.2 Standard deviation 58% 25% Asset T-bills Passive equity portfolio Macro forecasts Expected return Standard deviation 3% 0% 11% 14% Answer choices: a. 1.04 b. 0.98 c. 1.01 d. 1.12

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