The beta on risky asset A is 1.8 and the beta on risky asset B is 1.1. The expected return on the market portfolio is 10% and the risk free rate of return is 4%. Consider a portfolio comprising the two risky assets and the risk-free asset where you invest 50% in risky asset A and 30% in risky asset B. What is (i) the beta of a portfolio and (ii) the expected return of the portfolio?

Select an answer and submit. For keyboard navigation, use the up/down arrow keys to select an answer.

a

(i) 0.97 and (ii) 9.82%

b

(i) 1.23 and (ii) 9.82%

c

(i) 1.23 and (ii) 11.38%

d

(i) 0.97 and (ii) 11.38%

e

None of the above