Question: 9) Consider a multifactor APT. There are two independent economic factors, F and F2. The risk-free rate of return is 2%. The following information is

9) Consider a multifactor APT. There are two independent economic factors, F and F2. The risk-free rate of return is 2%. The following information is available about two well-diversified portfolios. Assuming no arbitrage opportunities exist, what is the risk premium on each factor? (10 points) Portfolio Beta of F1 Beta of F2 Expected Return 14% A 3 0 B 2 1.5 12%

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