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The market is expected to generate a 12.00% return and the risk free rate is 4.00%. A portfolio manager has 70.00% of her capital allocated

The market is expected to generate a 12.00% return and the risk free rate is 4.00%. A portfolio manager has 70.00% of her capital allocated to stock A with a beta of 0.80, which generated a total return of 11.00%. 30.00% of her capital is allocated to stock B with a beta of 1.10, which generated a total return of 12.00%. Using the CAPM, what would the be the expected portfolio return?

Group of answer choices

10.68%

12.80%

11.12%

10.40%

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