Stock A has an expected return of 10% and a standard deviation of 20%. Stock B has an expected return of 13% and a standard deviation of 30%. The risk-free rate is 5% and the market risk premium is...

Stock A has an expected return of 10% and a standard deviation of 20%. Stock B has an expected return of 13% and
a standard deviation of 30%. The risk-free rate is 5% and the market risk premium is 6%. Assume that the market
is in equilibrium. Portfolio AB has 50% invested in Stock A and 50% invested in Stock B. The returns of Stock A and
Stock B are independent of one another, i.e., the correlation coefficient between them is zero. What is Stock B’s
beta?