The estimation of the index model for stocks ABC and DEF has generated the following results:

R_ABC=0.04+0.85R_M + e_ABC

R_DEF=-0.02+1.32R_M + e_DEF

_M = 0.08; R²_ABC = 0.18; R²_DEF = 0.22

You create a portfolio by investing 30% in ABC, 40% in DEF and the balance in the risk-free asset. The standard deviation of this portfolio is 0.93. The proportion of the systematic risk out of the total risk of your portfolio is,

Select one:

a. 77.29%

b. 71.63%

c. 65.23%

d. 72.45%

e. None of the above.