USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

Multiple Choice

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Jonathan Crowley is a portfolio manager for a large pension fund. Last year his portfolio had an actual return of 12.6 percent with a standard deviation of 13 percent and a beta of 1.3. The market risk premium for this period of time was 6 percent, and the risk-free rate of return was 5 percent.
-Refer to Exhibit 7.6. Based on the Capital Asset Pricing Model (CAPM) , what is the required rate of return for this portfolio?

A) 6.3 percent
B) 7.8 percent
C) 10.6 percent
D) 12.8 percent
E) 15.4 percent