There are two stocks in the market, Stock A and Stock B . The price of Stock A today is $85. The price of Stock A next year will be $74 if the economy is in a recession, $97 if the economy is normal, and $107 if the economy is expanding. The probabilities of recession, normal times, and expansion are .30, .50, and .20, respectively. Stock A pays no dividends and has a correlation of .80 with the market portfolio. Stock B has an expected return of 15.0 percent, a standard deviation of 35.0 percent, a correlation with the market portfolio of .34, and a correlation with Stock A of .46. The market portfolio has a standard deviation of 19.0 percent. Assume the CAPM holds.

b-1. What is the expected return of a portfolio consisting of 75 percent of Stock A and 25 percent of Stock B? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Expected return %

b-2. What is standard deviation of a portfolio consisting of 75 percent of Stock A and 25 percent of Stock B? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) Standard deviation %

c. What is the beta of the portfolio in part (b)? (Do not round intermediate calculations and round your answer to 3 decimal places, e.g., 32.161.) Beta of the portfolio