You are given the following information about four stocks:

Stock A has a beta of 0.90, a standard deviation of 42% and an expected return of 10.2%.

Stock B has a beta of 1.00, a standard deviation of 52% and an expected return of 11%.

Stock C has a beta of 1.05 and a standard deviation of 57%.

Stock D has a beta of 1.15, a standard deviation of 67% and an expected return of 12.2%.

What is the expected return of C?

11.2%

11.4%

11.6%

11.8%