Stock XYZ Has a Beta of 1

Multiple Choice

Stock XYZ has a beta of 1.2 and an expected return of 14%; the risk-free asset (T-bills) currentlyearns 4%. If the portfolio of the two assets has a beta of 0.8, what are the portfolio weights?

A) risk-free asset = 67%, stock XYZ = 33%
B) risk-free asset = 33%, stock XYZ = 67%
C) risk-free asset = 3%, stock XYZ = 97%
D) risk-free asset = 50%, stock XYZ = 50%