Sisyphean industries is seeking to raise capital from a large group of investors to fund a new project. Suppose that the efficient portfolio has an expected return of 14% and a volatility of 20%. Sisyphean's new project is expected to have a volatility of 40% and a 70% correlation with the efficient portfolio. The risk minusfree rate is 4%.

The required return for Sisyphean's new project is closest to:

A. 24%

B. 18%

C. 14%

D. 10%