Portfolio A has an average return of 15 percent, a standard deviation of 17.2 percent, and a beta of 1.25. Portfolio B has an average return of 8 percent, a standard deviation of 6.4 percent, and a beta of 0.82. The risk-free rate is 2 percent and the market risk premium is 8.5 percent. What is the Treynor ratio of a portfolio comprised of 20 percent portfolio A and 80 percent portfolio B?

Select one:

a. 0.082

b. 0.068

c. 0.104

d. 0.054

e. 0.136