Suppose the risk-free rate is 3.9 percent and the market portfolio has an expected return of 11.4 percent. The market portfolio has a variance of .0315. Portfolio Z has a correlation coefficient with the market of .32 and a variance of .3192.

According to the capital asset pricing model, what is the expected return on Portfolio Z? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)