You are given the following correlation matrix for Securities J. K. and the Market: Correlation Security Security Market Security 1.00 0.84 0.42 Security K 0.84 1.00 0.30 Market 0.42 0.30 1.00 You know that the variance for J, K, and the Market are, respectively: 0.16,0.09, and 0.04. Also,TRE = 0.02 and RPM - 0.04. Determine the required rate of return for Security J, based on the Capital Market Line. 10.0% 13.5% 8.0% 9.5% 12.0%