Suppose that the risk-free rate is 5% and the market portfolio has an expected return of 13% with a volatility of 18%. Monsters Inc. has a 24% volatility and a correlation with the market of .60, while California Gold Mining has a 32% volatility and a correlation with the market of -0.7.Assume the CAPM assumptions hold.

Monsters' required return is closest to:

15.5% 11.5% 10% 13%