Suppose the real risk-free rate is 4.40% and the future rate of inflation is expected to be constant at 4.70%. 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. 4.40%

b. 4.61%

c. 4.55%

d. 9.10%

e. 6.75%