Suppose that the market portfolio is equally likely to increase by 14% or decrease by 4%. Security "X" goes up on average by 22% when the market goes up and goes down by 14% when the market goes down. Security "Y" goes down on average by 32% when the market goes up and goes up by 26% when the market goes down. Security "Z" goes up on average by 4% when the market goes up and goes up by 4% when the market goes down.

The expected return on a security with a beta of 1.8 is closest to:

Group of answer choices

5.0%

4.8%

5.8%

6.6%