Assume that two-factor APT holds. There are no arbitrage opportunities. The independent economic factors are F1 and F2, respectively. The following information is available about three well-diversified portfolios:

Portfolio	Expected Return	on F1	on F2
A	13%	1.0	0.5
B	18%	2.0	0.5
C	21%	1.0	1.5
D	??	1.5	1.5

Assume that a risk-free asset exists.

Consider a zero-beta portfolio consisting of A, B, and C only. The portfolio weight of asset A is A. 0.5 B. 2.5 C. 1 D. -0.5