Suppose that a well-diversified portfolio has an expected return of 11% and that the following two factors have an impact changes to GDP (Fi), and changes to unexpected inflation (F2), The risk free rate is 8%. The APT equation is: on this portfolio's returns: -0.05 + β| (0.035) + β2 (0.0825) (i) Suppose that the sensitivity of the well-diversified portfolio to GDP is (-1.25). What is its sensitivity to unexpected inflation? 5 Marks) (ii If one rebalances this well-diversified portfolio, such that the expected return remains the same but the exposure to inflation is reduced to zero, what will its sensitivity to GDP be? (5 Marks) Suppose that a well-diversified portfolio has an expected return of 11% and that the following two factors have an impact changes to GDP (Fi), and changes to unexpected inflation (F2), The risk free rate is 8%. The APT equation is: on this portfolio's returns: -0.05 + β| (0.035) + β2 (0.0825) (i) Suppose that the sensitivity of the well-diversified portfolio to GDP is (-1.25). What is its sensitivity to unexpected inflation? 5 Marks) (ii If one rebalances this well-diversified portfolio, such that the expected return remains the same but the exposure to inflation is reduced to zero, what will its sensitivity to GDP be? (5 Marks)