Suppose Stock a Has an Expected Return of 15%, a Standard

Multiple Choice

Suppose Stock A has an expected return of 15%, a standard deviation of 20%, and a Beta of 0.4 while Stock B has an expected return of 25%, a standard deviation of 30% and a beta of 1.25, and the correlation between the two stocks is 0.25. What is the beta for a portfolio with 80% invested in Stock A and 20% invested in Stock B?

A) 0.57
B) 0.77
C) 0.97
D) 1.17