What proportion of the portfolio must be in asset c

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Question - Both assets B and C plot on the SML. Asset B has a beta of 1.3 and an expected return of 13.1%. Asset C has a beta of .50 and an expected return of 7.5%. The risk-free rate is 4% and the expected return on the market portfolio is 11%. If you wish to hold a portfolio consisting of assets B and C, and have a portfolio beta equal to 1.0, what proportion of the portfolio must be in asset C?

A. 0.375

B. 0.50

C. 0.625

D. 0.75

Reference no: EM133107786

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