Consider the following information for the Alachua Retirement Fund, with a total investment of $6 million.

Stock A B C D Total

Investment $600,000 900,000 1,500,000 3,000,000 $6,000,000

Beta 1.2 -0.4 1.5 0.8

The market required rate of return is 12 percent, and the risk-free rate is 6 percent. What is its required rate of return?

A. 8.98%

B. 9.45%

C. 10.50%

D. 11.56%

E. 11.01%