number 13

13. Suppose you hold a portfolio consisting of a $60,000 investment equally in each of 12 different common stocks. The portfolio's beta is 1.35. Now suppose you decided to sell one of your stocks that has a beta of 0.8 and to use the proceeds to buy a replacement stock with a beta of 1.65. Knowing that the treasury return in the market is 4.6% including an inflation premium for 3.55%, and the market risk premium is 6.2%, then by how much would the return of the portfolio increase? Choose the nearest answer OA) 12.97% B) 4.42% OC) 0.88% OD) 0.44% OE) None of the above