An Investor Has a Portfolio with an Expected Return of 11.19

Multiple Choice

An investor has a portfolio with an expected return of 11.19%. The portfolio is evenly invested in a stock and a risk-free asset. The market has an expected return of 17% and the risk-free asset has an expected return of 3%. What is the beta of the stock?

A) .98
B) 1.17
C) 1.43
D) 1.62
E) 1.94