You are an investment analyst at an asset management firm. Your colleague, the in-house economist, has analyzed all the risky securities in your economy - A, B and C. He provides you with the following statistics:

Securities	A	B	C	Risk-Free
Expected Returns	0.12	0.11	0.08	0.01
Standard Deviation	0.25	0.20	0.12

The Correlation between A and B is 0.25, between B and C is 0.75, and between A and C is 0.5.

What is the slope of the capital market line in this economy?

Group of answer choices

0.27

0.58

0.62

0.66

0.52