Factor 1 Factor 2 Factor 3 7% 8% In the 3-factor APT world, what should be the expected return on a well-diversified portfolio A, i.e., E(ra)? (1) 2%; (2) 3%; (3) 4%; (4) 5%; (5) 6%; (6) 7%; (7) 8%; (8) 9%; (9) 10%; 9 [Note: B = factor sensitivity of portfolio A with respect to each Factor, risk premum (or excess return) = E(R;) = E(r;) rz] ErFactor) BEA Riskfree(r) 9% 0.69 0.54 0.14 3%