Betas of a stock with respect to the market, SMB, HML, and MOM factors are 0.8, 0.1, -0.5, and 1.3. What is the expected return of this stock if the risk premium of each factor is 7%, 3%, 4%, and 6%, respectively? The risk free rate is 1%.
Group of answer choices
11.7%
12.7%
11.5%
12.9%