Security a Is Estimated to Be Linearly Related to Four

Multiple Choice

Security A is estimated to be linearly related to four risk factors: F₁, F₂, F₃, and F₄ such that its required rate of return can be expressed as ER_(A) = m_o + n₁F₁ + n₂F₂ + n₃F₃ + n₄F₄, where m_o is the risk-free rate.If the risk-free rate is 5.5 %, what is the required rate of return of Security A, where n₁, n₂, n₃, and n₄ are 0.3, 0.6, 0.9, and 0.12, respectively, and F₁, F₂, F₃, and F₄ are 6 %, 7 %, 10 %, and 8 %, respectively?

A) 19.22%
B) 21.46%
C) 22.90%
D) 27.11%