Suppose the two factor portfolios, here called portfolios 1 and 2, have expected returns E(r1) = 10% and E(r2) = 12%. Suppose further that the risk-free rate is 4%. The risk premium on the first factor portfolio is therefore 6%, while that on the second factor portfolio is 8%. Now consider an arbitrary well-diversified portfolio (P), with beta on the first factor, P1 = 0.5, and on the second factor, P2 = 0.75.

If APT holds, what is the expected return of portfolio P?