Use the Information for the Question(s)below

Multiple Choice

Use the information for the question(s) below.
Suppose that the risk-free rate is 5% and the market portfolio has an expected return of 13% with a volatility of 18%.Monsters Inc.has a 24% volatility and a correlation with the market of .60,while California Gold Mining has a 32% volatility and a correlation with the market of -.7.Assume the CAPM assumptions hold.
-Monsters' required return is closest to:

A) 10.0%.
B) 13.0%.
C) 11.5%.
D) 15.5%.