Which one of the following portfolios should have the MOST systematic risk?
a. 50% in U.S. treasury bills and 50% in a market index mutual fund.
b. 20% in US treasury bills and 80% invested in a stock with beta =.80
c. 10% invested in a stock with a beta of 1.0 and 90% in a stock with a beta of 1.40
d. 100% invested in a mutual fund which mimics the overall market.
e. 100% in US treasury bills.