You are given the following information for two stocks: Stock Expected return Volatility A B 0.10 0.20 0.2 0.5 The correlation between the returns on the stocks is 0.80. The annual risk-free interest rate is 2%. A portfolio is 50% invested in stock A and 50% invested in stock B. Stock C has volatility 0.3. Its correlation with A is 0.1 and its correlation with B is 0.4. What is C's required return in order to justify adding it to the portfolio