Short Question $($SQ$4)$

$(15\%)$

Suppose asset returns are driven by two common factors, namely GDP growth rate $($factor $1)$ and interest rate $($factor $2).$ There are three correctly priced well$-$diversified portfolios A$,$ B and

C$.$ Their factor sensitivities and annual expected returns are given in the following table:

$\backslash$table$[[,\backslash$table$[[$Factor Sensitivity for$],[$Factor $1]],\backslash$table$[[$Factor Sensitivity for$],[$Factor $2]],\backslash$table$[[$Annual Expected$],[$Return$]]],[$Portfolio A$,b_{A1}=+2\mathrm{.}0,b_{A2}=-3\mathrm{.}0,4\mathrm{.}50\%$