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Suppose the risk-free rate is 5.70% and the market portfolio has an expected return of 15.25%. A portfolio is invested equally in three securities with

Suppose the risk-free rate is 5.70% and the market portfolio has an expected return of 15.25%. A portfolio is invested equally in three securities with betas of 0.78, 1.53, and 1.58 respectively. What is the expected return on this portfolio?

A) 16.23%

B) 16.68%

C) 17.13%

D) 17.58%

E) 18.04%

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