Question: Suppose you are given the following data. Asset Expected Return Standard Deviation Beta Market 0.063 A 0.08 30% 1.2 B 0.04 20% Risk-free 1% Assets

Suppose you are given the following data. Asset Expected Return Standard Deviation Beta Market 0.063 A 0.08 30% 1.2 B 0.04 20% Risk-free 1% Assets A and B are the only risky assets in the economy, i.e., market portfolio consists of Assets A and B. The correlation between assets A and B is -0.23. Based on this information, what is the beta of Asset B? Write your answer in two decimals. Example: 0.49

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