Currently, the risk-free rate (rRF) is 6% and the Market Risk Premium (rM - rRF) is 5%. Given this information, which of the following statements is correct?

Select one:

a. A portfolio with beta = 1.0 should have a required return of 11%.

b. A portfolio with beta = 1.0 should have a required return less than 11%.

c. A portfolio with beta = 1.0 should have a required return greater than 11%.

d. If a stocks beta doubles, its required return must also double.