Use the security market line to determine the required rate of return

Use the security market line to determine the required rate of return for the following firm’s stock.

The firm has a beta of 1.25, the required return in the market place is 10.50%, the standard deviation of returns for the market portfolio is 25.00%, and the standard deviation of returns for your firm is also 25.00%.
A) 13.13%
B) 10.50%
C) 31.25%
D) There is not enough information to answer this question.

ANSWER

Answer: D
Explanation: D) Re = E(ri) = rf + [E(rm) – rf] βi.
This problem lacks information about the risk-free rate of return, and so we cannot solve for Re.