Suppose the risk-free rate is 4.9 percent and the market portfolio has an expected return of 11.6 percent. The market portfolio has a variance of .0452. Portfolio Z has a correlation coefficient with the market of 35 and a variance of 3355 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.) Expected return