Grace has one risk-free asset and one risky stock in her portfolio. The risk-free asset has an expected return of 1.2%. The risky asset has a beta of 1.5 and an expected return of 20.0%. What is the expected return on the portfolio if the portfolio beta is 1.05?

Multiple Choice

• 1.2%

• 8.83%

• 10.60%

• 14.36%

• 20.00%