There is an economy with many assets and two possible states of the world. Three of them are asset A, asset B, and asset C. Asset A has a beta of 1.00 and pays out 12% when the market goes up and -2% when the market goes down. Asset B pays out 1% when the market goes up and 1% when the market goes down. Using the CAPM you find that asset C has an expected return of 11%, what is the beta of asset C closest to? Suppose the market goes up and down with equal probability.

a) 0.5

b) 2.0

c) 1.0

d) 1.5