Consider a two-factor model and assume that the factors, F1 and F2, are independent. The factors have the same risk premium of 5%, and volatilities of F1 = 20% and F2 = 10%. Consider two securities, A and B, that have the following dynamics: Security    1    2    i A          1     1     5% B          0.5   2     10% where i denotes volatility of idiosyncratic component of asset i = {A,B}. (a) Assuming that both securities are fairly priced, what are their risk premia? (b) Compute volatility of each security. (c) What is the correlation between A and B returns?