The correlation between the returns on Asset X and the returns on the market portfolio is 0.45. The market risk premium is 5.10% and the risk-free rate is 2.50%. The variance of the return on Asset X is 0.08 and the variance of the return on the market portfolio is 0.03. According to the CAPM, the expected return on Asset X is closest to: a) 5.91% b) 6.25% c) 6.33% d) 8.75%