Problem 12-4 Multifactor Models Suppose stock returns can be explained by the following three-factor model: R; RF+ B1F1+ B2F2-B3F3 Assume there is no firm-specific risk. The information for each stock is presented here: 1 2 3 Stock A 2.20 1.20 .95 Stock B .94 1.80 -.40 Stock C .92 -.50 1.59 The risk premiums for the factors are 8 percent, 7.2 percent, and 7.6 percent, respectively. You create a portfolio with 30 percent invested in Stock A, 30 percent invested in Stock B, and the remainder in Stock C. The risk-free rate is 5.1 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., 32.16.) Factor F1 Factor F2 Answer is complete and correct. 1.31 0.70 Factor F3 0.80 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., 32.16.) > Answer is complete but not entirely correct. Expected return 26.70 %