Consider the Multifactor APT

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: Assuming no arbitrage opportunities exist, the risk premium on the factor F₂ portfolio should be

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