Question: Consider the following information: Share Beta Implied return A 0.75 5.50% B 1.08 11.80% C 1.72 8.30% D 1.3 6.80% E 1.2 5.90% Currently, your

Consider the following information:

Share Beta Implied return

A 0.75 5.50%

B 1.08 11.80%

C 1.72 8.30%

D 1.3 6.80%

E 1.2 5.90%

Currently, your portfolio consists of $4,000 invested in share C and $3,000 in share D . You have another $12,000 to invest and want to divide it between share E and a risk-free asset. You want your portfolio beta to be 1.1. How much should you invest in the risk free asset?

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