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You have a RM1,200 portfolio which is invested in two stocks and one risk-free asset. RM300 is invested in stock A, which has a beta

You have a RM1,200 portfolio which is invested in two stocks and one risk-free asset. RM300 is invested in stock A, which has a beta of 1.1. Stock B has a beta of .80. How much should be invested in the risk-free asset if you want to achieve a portfolio beta of .555?

a. 35.0 % b. 38.5 % c. 40.0 % d. 42.5 %

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