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You own a portfolio which is 30 percent invested in U.S. Treasury bills, 20 percent invested in Stock A which has a beta of 1.21 and 20 percent invested in stock B which has a beta of .89. The balance is invested in stock C, which is equally as risky as the market. The risk-free rate of return is 4.5 percent and the expected return on the market is 12 percent. What is the beta of the portfolio?

a. .42

b. .72

c. 1.02

d. 1.22

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