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Assume two portfolios A and B are both well-diversified. Portfolio A has an expected return of 8.2%. Portfolio B has an expected return of 9.4%.

Assume two portfolios A and B are both well-diversified. Portfolio A has an expected return of 8.2%. Portfolio B has an expected return of 9.4%. If the economy only has one risk factor, A has a beta of 1, and B has a beta of 1.2, what must be the risk-free rate?

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