Consider the Multifactor APT $\text { Portfolio }$ Assuming No Arbitrage Opportunities Exist, the Risk Premium on the F₁

Multiple Choice

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: $\text { Portfolio }$ Assuming no arbitrage opportunities exist, the risk premium on the factor F₂ portfolio should be

A) 3%.
B) 4%.
C) 5%.
D) 6%.