A Portfolio Is Made Up of Stocks A, B, C

Multiple Choice

A portfolio is made up of Stocks A, B, C, and D in the proportion of 20%, 30%, 25%, and 25% respectively. The nondiversifiable risks of the stocks as measured by their betas are 0.4, 1.2, 2.5, and 1.75 for Stock A, B, C, and D respectively. The expected returns of the stocks are 12%, 24%, 30%, and 28% respectively. Measure the beta of the portfolio.

A) 1.8
B) 1.9
C) 1.5
D) 1.4
E) 1.3