You Would Like to Combine a Highly Risky Stock with a Beta

Multiple Choice

You would like to combine a highly risky stock with a beta of 2.6 with U.S.Treasury bills in such a way that the risk level of the portfolio is equivalent to the risk level of the overall market.What percentage of the portfolio should be invested in Treasury bills?

A) 57.91 percent
B) 61.54 percent
C) 50.00 percent
D) 38.46 percent
E) 42.09 percent