Suppose Woolworths has a beta of 0.65 and Qantas has a beta of 1.87. The risk-free interest rate is 2.60% and the market risk premium is 6.30%. According to the CAPM, what is the expected retum on a portfolio with 22% invested in Woolworths 48% invested in Qantas, and 31% invested in a market security (a diversified portfolio with systematic risk equivalent to the market) and the remainder invested in a risk-free security? a. 11.11% O b. 9.54% OC 10.68% O d. 10.26% Oe 99296