Suppose that there are two independent economic factors, $F_1$ and $F_2.$ The risk$-$free rate is $10\%,$ and all stocks have independent firmspecific components with a standard deviation of $40\%.$ Portfolios A and $B$ are both well$-$diversified with the following properties:

$\backslash$table$[[$Portfolio$,$Beta on $F_1,$Beta on $F_2,$Expected Return$],[A,1\mathrm{.}6,2\mathrm{.}0,30\%$