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Investors attribute all securities' systematic risks to two factors, F1 and F2. Suppose portfolios A, B, and C are well-diversified. The risk-free rate of return

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Investors attribute all securities' systematic risks to two factors, F1 and F2. Suppose portfolios A, B, and C are well-diversified. The risk-free rate of return is 7%. b1 b2 ED) Portfolio A 1 0 9% Portfolio B 0 1 12% Portfolio C 0.5 1.25 ? If no-arbitrage exists, what should be the expected return on portfolio C based on the information provided in the table above? 18.596 14.25% 16.2596 13.6%

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