Suppose there are two independent economic factors, M$1$ and M$2.$ The risk$-$free rate is $5\%,$ and all stocks have independent firm$-$specific components with a standard deviation of $56\%.$ Portfolios A and B are both well diversified.

Portfolio Beta on M$1$ Beta on M$2$ Expected Return $(\%)$

A $1\mathrm{.}72\mathrm{.}235$

B $2\mathrm{.}1-0\mathrm{.}88$

Required:

What is the expected return$$beta relationship in this economy? $($Do not round intermediate calculations. Round your answers to $2$ decimal places.$)$