42. A money manager is holding a $10 million portfolio that consists of the following five stocks:

Stock Amount Invested Beta

A $ 4 million 1.2

B $ 2 million 1.1

C $ 2 million 1.0

D $ 1 million 0.7

E $ 1 million 0.5

The portfolio has a required return of 11% and the market risk premium is 5%. What is the required

return on stock C?

a. 7.2%

b. 10.0%

c. 10.9%

d. 11.0%

e. 11.5%