You are presently invested in the Blackrock Technology Opportunities Fund $($BSTSX$),$ an information technology mutual fund that invests in stocks and other securities$.$ The BSTSX Fund has an expected return of $17\mathrm{.}98\%$ and a volatility of $29\mathrm{.}02\%.$ Risk$-$free Treasury Bills are currently offering returns of $2\mathrm{.}15\%.$ You are considering adding an ESG fund $($iShares MSCI global sustainable fund $$ SDG$)$ to your current portfolio. The ESG fund has an expected return of $8\mathrm{.}89\%,$ a volatility of $17\mathrm{.}5\%,$ and a correlation of $0\mathrm{.}61$ with the BSTSX Fund.

The required return on the ESG fund is closest to$?$

Question $9$ options:

$2\mathrm{.}189\%$

$7\mathrm{.}510\%$

$1\mathrm{.}120\%$

$7\mathrm{.}975\%$