A.2.5% B.7.5%

C12.5%

D17.5%

Can you show me how to do it? thanks.

Suppose that a two-factor model, where the factors are the market return and the growth rate of industrial production, correctly describes the risk-return characteristics of all assets. Consider two well-diversified portfolios A, B, and C with the following characteristics. The risk-free rate is 5%. Portfolio Expected Return Sensitivity to Factor 1 Sensitivity to Factor 2 10% -1 15% 0.5 -0.5 0.5 What is the APT-consistent expected rate of return on C