Question $2(7$ points$)$

Suppose the risk free rate is $6\mathrm{.}3\%$ and the market portfolio has an expected return of $14\mathrm{.}8\%.$ The market

portfolio has a variance of $0\mathrm{.}0441.$ Portfolio $Z$ has a correlation coefficient with the market of $0\mathrm{.}45$ and a

variance of $0\mathrm{.}1225.$ According to the CAPM, what is the beta of portfolio $Z?$

$0\mathrm{.}75$

$0\mathrm{.}6$

$0\mathrm{.}374$

$1$

$0\mathrm{.}55$