-Given the Factors Pricing Assets Above and a Risk-Free Rate

Multiple Choice

$\begin{array}{|l|l|l|l|l|}\hline & \text { Factor 1 } & \text { Factor 2 } & \text { Factor 3 } & \text { Factor 4 } \\\hline \text { Risk premium } & 3.8 \% & 4.4 \% & 5.7 \% & 5.9 \% \\\hline \text { Asset sensitivity } & -1.2 & -1.6 & 1.9 & 0.6 \\\hline\end{array}$
-Given the factors pricing assets above and a risk-free rate of return of 6%,what is the expected return of the asset using the APT?

A) $2.49 \%$
B) $2.76 \%$
C) $3.13 \%$
D) $8.77 \%$