Assume that all assumptions of modern portfolio theory are satisfied. There are two risky assets in the economy: stocks A and B, and a risk-free asset. An investor has $2,508 to invest, and optimally allocates 29 percent of his/her wealth to stock A, 37 percent to stock B, and deposits the rest in the risk-free asset. Expected returns on the two stocks are E(R_A) = 9%, E(R_B) = 15%.

What must be the expected return of the market (tangency) portfolio?