Question: Assume that both portfolios A and B are well diversified, that E( rA) = .12, and E( rB) = .09. If the economy has only

Assume that both portfolios A and B are well diversified, that E( rA) = .12, and E( rB) = .09. If the economy has only one factor, and ßA = 1.2 whereas ßB = .8, what must the risk- free rate be?

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