Consider the Multifactor APT Assuming No Arbitrage Opportunities Exist,the Risk Premium on the Factor

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: $$\begin{array}{l}\begin{array} { l l l l } \text { portfolio}&\beta \text { on F?}&\beta \text { on F?}&\text { expected return}\\A&1.0&2.0&19\%\\B&2.0&0.0&12\%\end{array}\end{array}$$
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