Question: Consider a three-factor APT model with self-financing factors. The table below provides the expected return for each of the factors, the beta of Stock A

Consider a three-factor APT model with self-financing factors. The table below

Consider a three-factor APT model with self-financing factors. The table below provides the expected return for each of the factors, the beta of Stock A with each of the factors, and the beta of Stock B with each of the factors. The risk- free rate is 1.2%. Use this model to estimate the expected return on a portfolio with equal investments in Stock A and Stock B. Beta Beta Factor Expected Return for A for B F1 9.4% -0.30 0.41 F2 5.4% 0.39 -0.20 F3 11.2% 0.92 1.30 O 13.86% 11.44% 12.24% O 13.05% 14.66%

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