Suppose you hold a well-diversified portfolio with a very large number of securities, and that the single index model is correct. If the risk-free rate is 2.5%, the market return is 13.8%, the Std Dev of your portfolio is 19% and the Std Dev of the market is 11%; then the return on your portfolio would be approximately: Select one: O a. 11.30% O b. 22.02% O c. cannot be estimated without the calculated beta O d. 16.30% O e. 4.65%