Share L has a beta of 1.5 and an expected return of 21.90%, while Share M has a beta of 0.7 and an expected return of 13.33%. You want to form a portfolio that has a portfolio beta of 1.2. What is the weight will you invest in each share? What is the expected return of your portfolio?

chose 1

(a) 80% weight for L, 20% weight for M; Portfolio expected return = 20.19%

(b) 62.5% weight for L, 37.5% weight for M; Portfolio expected return = 18.69%

c) 60% weight for L, 40% weight for M; Portfolio expected return = 18.42%

d) 65.0% weight for L, 35.0% weight for M; Portfolio expected return = 18.90%

e) 55.5% weight for L, 44.5% weight for M; Portfolio expected return = 18.07%