a) Suppose that a well-diversified portfolio has an expected return of 25% and that the following two factors have an impact on this portfolio's returns: changes to Gross Domestic Product (GDP) (F), and to unexpected inflation (F) The risk-free rate is 4%. The Arbitrage Pricing Theory (APT) equation is E(Rp)-R, + A,(6-9) + 2(6-4) -0.04 + A(0.078) + 2(0.126) i) Suppose that the sensitivity of the well-diversified portfolio to GDP is (-0.85). What is its sensitivity to unexpected inflation? 15 marks] i) If one rebalances this well-diversified portfolio, such that the expected return remains the same but the exposure to inflation is reduced to zero, what wl its sensitivity to GDP be