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Suppose that there are two independent economic factors, F 1 and f 2 . The risk - free rate is 6 % , and all

Suppose that there are two independent economic factors, F1 and f2. The risk-free rate is 6%, and all stocks have independent firmspecific components with a standard deviation of 43%. Portfolios A and B are both well-diversified with the following properties:
\table[[Portfolio,Beta on F1,Beta on F2,Expected Return],[A,1.5,1.9,31%
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