Suppose that there are two independent economic factors, X and Y. The risk-free rate is 6%, and all stocks have independent firm-specific components with a standard deviation of 45%. The following are well-diversified portfolios:
Portfolio A: Expected return for this portfolio is 31% Beta on X is 1.5 Beta on Y is 2.0
Portfolio B: Expected return for this portfolio is 27%
Beta on X is 2.2 Beta on Y is -0.2
Question: what is the expected return-beta relationship in this economy?