You want to build a three-asset portfolio containing U.S. Treasury bills (beta equal to zero) and two other stocks. You want the portfolio to have the same amount of market risk as the overall market, which has a beta of one. All three assets will be equally weighted. If the beta of the first stock is 1.23, what does the beta of the second stock have to be?

a) 0.77 b) 0.81 c) 1.00 d) 1.10 e) 1.77