Assume that security returns are generated by two independent economic factors, F1 and F2. The risk-free rate is 4%. The risk premium for the first factor is 8% and that for the second factor is 6%. What is the expected return on a well-diversified portfolio with beta on F1 of 1.2 and beta on F2 of 1.1? O 18.4% O 20.2% O 22.5% O 24.2% O 26.8%