Suppose there are two independent economic factors, M1 and M2. The risk-free rate is 5%, and all stocks have independent firm- specific components with a standard deviation of 40%. Portfolios A and B are both well diversified. Expected Return (%) Portfolio A B Beta on M1 1.8 2.1 Beta on M2 2.2 -0.5 30 8 ook What is the expected return-beta relationship in this economy? (Do not round intermediate calculations. Round your answers to 2 decimal places.) rint Expected return-beta relationship E(rP) = % + BP1 + BP2 rences