Assume the CAPM Is the Correct Asset Pricing Model,the Risk-Free $-60 \%$

Multiple Choice

Assume the CAPM is the correct asset pricing model,the risk-free rate of return is 6%,and the market portfolio has an expected return and a standard deviation of 16% and 0.10%,respectively.An investor has a portfolio consisting of asset A,which has a beta of 1.6,and asset B,which has a beta of 0.6.If the investor wishes to earn a return identical to that of the risk-free asset,what weight should the investor place in assets A and B?

A) $-60 \%$ in asset $\mathrm{A}$ and $160 \%$ in asset $\mathrm{B}$
B) $0 \%$ in asset $A$ and $100 \%$ in asset $B$
C) $20 \%$ in asset $A$ and $800 \%$ in asset $B$
D) $60 \%$ in asset A and $40 \%$ in asset B