Assume that the treasury yield is currently 2.3%, the expected market risk premium 6.7%, and the equity betas for firms A and B are 1.111 and 2.222. You create a portfolio by investing $5,000 in shares of firm A and $5,000 in shares of firm B.

What is your portfolio’s expected return?

10%

2.3%

7.2%

13.5%