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Consider the multi-factor APT with two factors. Portfolio A has a beta of 0.6 on factor 1 and a beta of 1.45 on factor 2.

Consider the multi-factor APT with two factors. Portfolio A has a beta of 0.6 on factor 1 and a beta of 1.45 on factor 2. The risk premiums on the factors 1 and 2 portfolios are 2% and 7% respectively. The risk-free rate of return is 3%. What is the expected return on portfolio A if no arbitrage opportunities exist?

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