1. Investors attribute all securities' systematic risks to two factors, F1 and F2. Suppose portfolios A, B, and C are well-diversified. The expected returns and betas on the risk factor of the portfolios are provided in the following table. What should be the risk-free rate of return so that there is no arbitrage opportunity?

   	Beta_1	Beta_2	E(R)
   Portfolio A	1	0	6%
   Portfolio B	0	1	7%
   Portfolio C	0.5	1.25	11%

   		1%
   		2%
   		3%
   		4%