The expected return on the market is 0.18 with a standard deviation of 0.30. The return on the riskfree asset is 10%. An Asset A has a standard deviation of 0.70 and a correlation of its expected return with the expected return on the market of 0.40.

The Beta of asset A is:

a.1.2

b.0.32

c.0.93

d.0.42

e.0.8