The market portfolio return has a standard deviation of 12.0%. Security As return has a standard deviation of 21.0%. Security As returns have a correlation with the market returns of +0.80. The annual risk free rate is currently 3% and the expected annual return on the market portfolio is 9.2%. Determine the CAPM required rate of return on security A. (2 decimal places)

A. 11.68%

B. 12.88%

C. 12.20%

D. 15.88%