Suppose that the market portfolio has an expected return of 11% and a standard deviation of 15%, and the risk free rate is 4%.

According to the CAPM, what expected rate of return should a project have if it has a correlation with the market of 0.30 and a standard deviation of 30%?

1. 5.5%
2. 10.1%
3. 3.9%
4. 7.5%
5. 8.2%