Suppose that the risk-free rate is 5% and the market portfolio has an expected excess return of 8% with a volatility of 18%. Monsters Inc. has a 24% volatility and a correlation with the market of 0.60, while California Gold Mining has a 32% volatility and a correlation with the market of -0.7. Assume the CAPM assumptions hold. California Gold Mining's required return is closest to: O a. 5% O b. 1.28% Insufficient data given. O 13% 0 -4.92%