Question: 73. Consider the multifactor APT. There are two independent economic factors, F1 and F2. The risk-free rate of return is 6%. The following information is

73. Consider the multifactor APT. There are two independent economic factors,

73. Consider the multifactor APT. There are two independent economic factors, F1 and F2. The risk-free rate of return is 6%. The following information is available about two well-diversified portfolios: Portfolio Ii on F1 [i on 2 Egpected Return A 1.0 2.0 19% B 2.0 0.0 12% Assuming no arbitrage opportunities exist, the risk premium on the factor F2 portfolio should be A. 3% B. 4% C. 5% D. 6% E. none of these

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