Problem $12-4$ Multifactor Models

Suppose stock returns can be explained by the following three$-$factor model:

$R_i=R_F+{}_1{F}_1+{}_2{F}_2-{}_3{F}_3$

Assume there is no firm$-$specific risk. The information for each stock is presented here:

The risk premiums for the factors are $7\mathrm{.}3$ percent, $6\mathrm{.}5$ percent, and $6\mathrm{.}9$ percent,

respectively. You create a portfolio with $20$ percent invested in Stock A$,20$ percent

invested in Stock B$,$ and the remainder in Stock C$.$ The risk$-$free rate is $4\mathrm{.}4$ percent. What

is the beta for each factor for the return on your portfolio? $($Do not round intermediate

calculations and round your answers to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$

What is the expected return on your portfolio? $($Do not round intermediate calculations

and enter your answer as a percent rounded to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$