Question: Based on a one-factor model, two portfolios, A and B, have equilibrium expected returns of 9.8% and 11.0%, respectively. If the factor sensitivity of portfolio

Based on a one-factor model, two portfolios, A and B, have equilibrium expected returns of 9.8% and 11.0%, respectively. If the factor sensitivity of A is 0.8 and that of B is 1.0, what must the riskfree rate be?

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