(10%) Question 4: Assume that the returns of the following four well-diversified portfolios are generated by a two-factor model. Portfolio Expected return Factor 1 sensitivity 1.6 2.2 Factor 2 sensitivity 1.5 2.4 13% 18% 10% What are the prices of risk , and 12 in this market for Factor 1 and Factor 2? a) 21=2.59% and 12=-4.44% b) 2 =4.44% and 12=2.00% c) 2,=-2.59% and 22=-2.00% d) 2=2.00% and 12=4.44% e) 22=4.44% and 22=2.59% End of Question 4