A Stock Has a Beta of 1

Multiple Choice

A stock has a beta of 1.17 and an expected return of 15.4 percent. A risk-free asset currently earns 4.7 percent. The beta of a portfolio comprised of these two assets is .76. What percentage of the portfolio is invested in the stock?

A) 65 percent
B) 77 percent
C) 74 percent
D) 71 percent
E) 62 percent