A stock has a beta of 1.56 and an expected return of 17.3 percent.A risk-free asset currently earns 5.1 percent.If a portfolio of the two assets has a beta of 1.06,what are the portfolio weights?
A) Stock weight = 0.28; risk-free weight = 0.72
B) Stock weight = 0.032; risk-free weight = 0.68
C) Stock weight = 0.44; risk-free weight = 0.56
D) Stock weight = 0.68; risk-free weight = 0.32
E) Stock weight = 0.72; risk-free weight = 0.28
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