Suppose there are two independent economic factors, $M_1$ and $M_2.$ The risk$-$free rate is $4\%,$ and all stocks have independent firmspecific components with a standard deviation of $57\%.$ Portfolios A and $B$ are both well diversified.

$\backslash$table$[[$Portfolio$,$Beta on $M_1,$Beta on $M_2,$Expected Return $(\%)$