MCQ14. The risk-free rate (1_F) is 4%. You are also given the covariance matrix of the rate of return on stock 1, stock 2, and the market portfolio is: ri 12 r1 12 rm 0.160 0.020 | 0.064 0.0200.090 0.032 0.064 0.032 0.040 Tm Consider forming a portfolio P that has 75% invested in asset 1 and 25% invested in asset 2. Compute the beta of portfolio P relative to the market (Bp.m)? A. 1.6 B. 0.8 C. 1.4 D. 1