Assume the CAPM Is the Correct Asset Pricing Model,the Risk-Free $-200 \%$

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 0.6,and asset B,which has a beta of 0.8.If the investor wishes to earn a return identical to that of the market portfolio,what weight should the investor place in assets A and B?

A) $-200 \%$ in asset $A$ and $300 \%$ in asset $B$
B) $-100 \%$ in asset $A$ and $200 \%$ in asset $B$
C) $20 \%$ in asset A and $80 \%$ in asset B
D) $40 \%$ in asset $A$ and $60 \%$ in asset B