10.33 The expected return on a portfolio that combines the risk-free asset and the asset at the point of tangency to the efficient set is 25 percent. The expected return was calculated under the following assumptions:

The risk-free rate is 5 percent.

The expected return on the market portfolio of risky assets is 20 percent.

The standard deviation of the efficient portfolio is 4 percent.

In this environment, what expected rate of return would a security earn if it had a 0.5 correlation with the market and a standard deviation of 2 percent?