Suppose the real risk-free rate is 3.80% and the future rate of inflation is expected to be constant at 6.60%. What rate of return would you expect on a 1-year Treasury security, assuming the pure expectations theory is valid? Disregard cross-product terms, i.e., if averaging is required, use the arithmetic average.

a. 3.80%

b. 4.05%

c. 7.10%

d. 10.40%

e. 5.20%