Suppose that stock returns are generated by a two-factor model. The expected returns and factor sensitivities of two well-diversified portfolios A and B are given in the table below. The expected return on a portfolio with zero beta values is 4%. Portfolio A B Factor beta bi -0.5 1.0 Factor beta b2 0.25 0.8 Expected return 4% 17% Suppose there is another well-diversified portfolio C with factor betas of bc,1 = 0.6 and bc,2 = -0.2. Assuming that the APT holds, what is the expected return of portfolio C