Question: please show how to get this answer, thank you! Use the following information to answer the next three questions Security Return 16% 12% Standard Deviation

please show how to get this answer, thank you!
Use the following information to answer the next three questions Security Return 16% 12% Standard Deviation 20% 25% Beta 0.8 Risk-free asset 11. What is the value of systematic risk (as measured by beta) for a portfolio with 2/3 of the funds invested in A and 1/3 of the funds invested in B? a. 0.875 b. 1.067 c. 1.000 d. 2.000 e. None of the above
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