Stock J has a beta of 1.2 and an expected return of 13.16 percent, while stock K has a beta of 0.75 and an expected return of 10.1 percent. You want a portfolio with the same risk as the market.
Which of the following portfolio compositions would achieve the desired risk level?
a) Invest more in Stock J than Stock K
b) Invest more in Stock K than Stock J
c) Invest equal amounts in Stock J and Stock K
d) Insufficient information to determine
