Question 4 (11%) Consider the multifactor ABT. There are two independent economic factors, F) and F2.) The risk-free rate of return is 6%. The following information is available about two well- diversified portfolios: Portfolio Bon F B on F Expected Return A 1.0 2.0 B 2.0 0.0 19% 12% (a) Assuming no arbitrage opportunities exist, what are the risk premiums on the factor F1 and F portfolios? (6%) (b) Portfolio has an expected return of 21% and its beta on FL is twice of that on F2. What is its beta on F2 (5%)