Suppose that we have a portfolio of securities, which are the two securities, A and B.
The unit of risk, with a sensitivity of the portfolio / securities average / expected yield is 9.0%;
A sensitivity of a security risk factor is 3.0, the coefficient B of the securities is 5.0;
A proportion of the securities in the portfolio is 20%, the share of securities B 80%;
The risk-free rate is 5.7%.
On the basis of the model by one-APT, please find the securities of A and B, a portfolio expected return?