A Portfolio Consists of One Risky Asset and One Risk-Free

Multiple Choice

A portfolio consists of one risky asset and one risk-free asset. The risky asset has an expected return of 13.2% and a beta of 1.32. The risk-free asset has an expected return of 1.5%. How much of the portfolio is invested in the risk-free asset if the portfolio beta is 1.02?

A) 16%
B) 23%
C) 32%
D) 45%
E) 54%