Suppose that asset returns are generated by a $2-$factor risk model. As a fund manager, you are offering two funds, A and B$,$ with the following returns: rA $=$ rA $+$ bA$1$f$1+$bA$2$f$2$

rB$=$ rB$+$bB$1$f$1+$bB$2+$f$2$

where f$1$ and f$2$ are the two independent risk factors with zero mean. Fund characteristics are given by the following:

Asset

$15\mathrm{.}06\%1\mathrm{.}020\mathrm{.}41$

$12\mathrm{.}07\%0\mathrm{.}411\mathrm{.}02$

Factor f$1$ is the abnormal return on the market portfolio $($market return minus its mean$).$ The risk$-$free rate is $3\mathrm{.}01\%.$

Use the above information to find the factor premia for the two factors.