If an investors holds a diversified portfolio which has risk exposures to the market portfolio, the size factor portfolio and the value factor portfolio. Betas and the risk premium of the factor portfolios are shown in the table below: Factor Beta Factor Risk Premium Market 0.8 8% Size 1.2 4% Value 0.5 9% A. 2 % B. 2.3 % C. 11.6% D. 13.6% O E. 17.7 % C O O If an investors holds a diversified portfolio which has risk exposures to the market portfolio, the size factor portfolio and the value factor portfolio. Betas and the risk premium of the factor portfolios are shown in the table below: Factor Beta Factor Risk Premium Market 0.8 8% Size 1.2 4% Value 0.5 9% A. 2 % B. 2.3 % C. 11.6% D. 13.6% O E. 17.7 % C O O