QUESTION $1$

You manage the MSB portfolio of $$30$ million. The portfolio has a beta of $1\mathrm{.}2$ and a required return of $12$ percent. MSB receives an $$20$ million additional to invest in the portfolio. You invest this new money in a stock with a beta of $2\mathrm{.}8.$ The risk$-$free rate is $5$ percent. What is the required return on the total portfolio after the addition of new funds?

A$.$

$12\mathrm{.}19\%$

B$.$

$12\mathrm{.}49\%$

C$.$

$12\mathrm{.}88\%$

D$.$

$13\mathrm{.}33\%$

E$.$

$13\mathrm{.}86\%$

F$.$

$14\mathrm{.}43\%$

G$.$

$15\mathrm{.}06\%$

H$.$

$15\mathrm{.}73\%$