You invest $600 in security A with a beta of 1.2 and $400 in security B with a beta of 0.90. The market risk premium is 8% and the risk free rate is 4%. According to the CAPM, your portfolio should have an expected return of ___________.

A) 14%

B) 8.32%

C) 8%

D) 12.64%

E) 12%