An investor holds two well-diversified portfolios on US securities. The expected return on portfolio A is 12% and the expected return on portfolio B is 8%. The investor has concluded that the US economy has only one factor industrial production), and BA = 1 and BB = 0.7. Assume that conclusion, and APT are correct. What should be the approximate risk-free rate according to the APT? a. -1% b. 0% c. 1% d. 2% e. 3% f. Other, specify