In an environment with risk-free rate of zero, if Stock A has return of 10% and Beta of 1.0 and stock B has return of 8% with Beta of 0.5, find a zero-beta portfolio and state its return. [Note a...

In an environment with risk-free rate of zero, if Stock A has return of 10% and Beta of 1.0 and stock B has return of 8% with Beta of 0.5, find a zero-beta portfolio and state its return. [Note a negative amount indicates short-selling, which we assume is allowed here]

Question 8 options:

67% in A, 33% in B; -3%

-50% in A, 150% in B; 1%

-100% in A, 200% in B; 6%

0% in A, 100% in B; 8%