Suppose the risk-free rate is 4 percent and the market portfolio has an expected return of 10.7 percent. The market portfolio has a variance of .0362. Portfolio Z has a correlation coefficient with the market of .26 and a variance of .326
According to the capital asset pricing model, what is the expected return on Portfolio Z? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)