Question: Based on a single-factor model, assume that the risk-free rate is 6% and the expected return on a portfolio with unit sensitivity to the factor

Based on a single-factor model, assume that the risk-free rate is 6% and the expected return on a portfolio with unit sensitivity to the factor is 8.5%. Consider a portfolio of two securities with the following characteristics:

SECURITY	b SENSITIVITY	PROPORTION
A	4.0	.30
B	2.6	.70

According to APT, what is the portfolios equilibrium expected return?

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