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An analyst gathers the following information about two well-diversified portfolios in an economy satisfying a one-factor arbitrage pricing theory model:
| Portfolio | Expected Return | Factor Sensitivity |
|---|---|---|
| X | 8.0% | 0.8 |
| Y | 16.0% | 2.4 |
The expected returns reflect a 1-year investment horizon and all investors agree on the expected returns of these portfolios. The return on the risk-free asset is closest to: