Both assets B and C plot on the SML. Asset B has a beta of 1.3 and an expected return of 13.1%. Asset C has a beta of .50 and an expected return of 7.5%. The risk-free rate is 4% and the expected return on the market portfolio is 11%. If you wish to hold a portfolio consisting of assets B and C, and have a portfolio beta equal to 1.0, what proportion of the portfolio must be in asset C?

A. 0.375

B. 0.50

C. 0.625

D. 0.75

The correlation coefficient, a measurement of the comovement between two variables, has what range?

A. From 0.0 to +10.0

B. From 0.0 to +1.0

C. From -1.0 to +10.0

D. From =1.0 to -1.0

The security market line has:

A. a positive slope.

B. a negative slope.

C. no slope.

D. a beta of 1.0

Find the variance for a security that has three one-year returns of -5%, 15%, and 20%.

A. 175%

B. 75%

C. 58.33%

D. 25%