You are going to invest $20,000 in a portfolio consisting of assets X, Y, and Z, as follows:

Asset Annual Return Probability Beta Proportion

X 10% 0.50 1.2 0.333

Y 8% 0.25 1.6 0.333

Z 16% 0.25 2.0 0.333

Given the information in Table 5.2, what is the expected annual return of this portfolio?

Select one:

a. 11.7%

b. 11.4%

c. 10.0%

d. 11.0%