The following portfolio has an expected return of percent and a beta of security s invested E(R) Beta A 1.05 B 55,000 15,000 30,000 16.20% 10.50% 11.80% 1.59 C 0.84 expected return = 17.33% portfolio beta 1.068 expected return 14.03% portfolio beta = 1.068 expected return 17.33% portfolio beta - 2.68 expected return - 14.03%