Page 10 28.A stock is currently trading at 40. Assume that at the end of one month it will either be 42 or 38. The risk-free interest rate is 8% per imum. What is the delta of a call option with a maturity of 1 month and a strike price of 39 writes on the stock? () 0.28 (1)0.50 00.25. (d) None of the above 31. Suppose that an asset has a CAPM beta of 0.5. Which one of the following Stalements is connect (a) The asset price will move in the same direction as the market portfolio on average but by half as much (b) This asset would be classed as aggressive (C) The asset price will always move in the same direction as the market portfolio and by exactly half as much (d) The asset has an idiosyncratic risk of 05