Tom's portfolio consists solely of an investment in Microsoft stock. Microsoft has an expected return of 13% and a volatility of 25%. The market portfolio has an expected return of 12% and a volatility of 18%. The risk-free rate is 4%. Assume that the CAPM assumptions hold in the market.

Assuming that Tom wants to maintain the current volatility of his portfolio, then the maximum expected return that Tom could achieve by investing in the market portfolio and risk-free investment (allowing for borrowing) is closest to:

20%

13%

16%

12%

15%