What is the expected return on portfolio a, Portfolio Management

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What is the expected return on portfolio a

Problem

Consider the multifactor model APT with two factors. Portfolio A has a beta of 1.20 on factor 1 and a beta of 1.50 on factor 2. The risk premiums on the Factor 1 and Factor 2 portfolios are 1% and 79%, respectively. The risk-free rate of return is 49%. If no arbitrage opportunities exist, what is the expected return on portfolio A?

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Portfolio Management: What is the expected return on portfolio a

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Portfolio Management: What is the expected return on portfolio a

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