A share has a beta of 1.04, an expected return of 12.42%, and lies on the security market line. A risk-free asset is yielding 2.4%. You want to create a $2000 portfolio consisting of Share A and the...

A share has a beta of 1.04, an expected return of 12.42%, and lies on the security market line. A risk-free asset is yielding 2.4%. You want to create a $2000 portfolio consisting of Share A and the risk-free security such that the portfolio beta is 0.84. What rate of return should you expect to earn on your portfolio?

Select one:

a.

10.33%

b.

11.50%

c.

11.16%

d.

10.25%

e.

10.49%