You Own Two Risky Assets, Both of Which Plot on the Security

Multiple Choice

You own two risky assets, both of which plot on the security market line. Asset A has an expected return of 12% and a beta of 0.8. Asset B has an expected return of 18% and a beta of 1.4. If your portfolio beta is the same as the market portfolio, what proportion of your funds are invested in asset A?

A) 0.33
B) 0.50
C) 0.67
D) 1.33
E) 1.67