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QUESTION 8 A stock has a beta of 1.1 and an expected return of 12%. The risk-free asset currently earns 4%. If a portfolio of

QUESTION 8 A stock has a beta of 1.1 and an expected return of 12%. The risk-free asset currently earns 4%. If a portfolio of the two assets has a beta of 1.65 what is the weight of the stock in the portfolio and expected return of the portfolio?

A.

125%, 14%
B.

0%, 4%
C.

150%, 16%
D.

100%, 12%

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