TERMEDIATE 6 percent. 18. Three Rivers Investment Company desires to construct a portfolio with a 20 percent expected return. The portfolio is to consist of some combination of Security X and Security Y, which have the following expected returns, standard deviations of returns, and betas. Security X Security Y Expected return 15% 26% Standard deviation 10% 20% Beta 0.94 1.33 Determine the expected beta of the portfolio. 19