Suppose there are two independent economic factors,M₁andM₂. The risk-free rate is 6%, and all stocks have independent firm-specific components with a standard deviation of 58%. PortfoliosAandBare both well diversified.

Portfolio Beta onM₁ Beta onM₂ Expected Return (%)

A 1.7 2.4 37

B 2.3 -0.8 10

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

Expected return-beta relationshipE(r_P)=_______% +________P1+_________P2