Question 17 Not yet answered Marked out of 5.00 Flag question Consider the following two portfolios. Portfolio A has an expected return of 12%, a standard deviation of returns is 32%, and a beta of 1.5 . Portfolio B has an expected return of 7.5%. The risk-free rate is 3.5%. Assuming the CAPM holds, and Portfolio A and B are fairly priced, then Portfolio A has a beta of Select one: a. 0.61 b. 0.98 c. 0.71 d. None of the answers are correct e. 1.12