Suppose that the relevant equilibrium model is the CAPM with unlimited borrowing and lending at a riskless rate of interest. You observe the $($missing$)$ data in the following table:

$\backslash$table$[[$Asset $\_($i$),$E$[$R$\_($i$)],\backslash$sigma $\_($i$),\backslash$beta $\_($i$),\backslash$rho $\_($i$,$m$)],[$A$,?,0\mathrm{.}96,-0\mathrm{.}8,-0\mathrm{.}1],[$B$,0\mathrm{.}3,0\mathrm{.}24,?,1],[$C$,0\mathrm{.}06,0,?,0],[$D$,0\mathrm{.}042,0\mathrm{.}02,?,?],[$E$,0\mathrm{.}18,0\mathrm{.}15,?,0\mathrm{.}8]]$

The expected return on the market portfolio is:

a$)0\mathrm{.}3$

b$)-0\mathrm{.}8$

c$)0\mathrm{.}2$

d$)0\mathrm{.}12$

e$)$ None of the above.