Suppose that a well diversified portfolio Z is priced based on two factors. The beta for the first factor is 1.10 and the beta for the second factor is 0.45. The expected return on the first factor is 11%. The expected return on the second factor is 17%. The risk free rate of return is 5.2%. Use the one-factor arbitrage pricing theory to answer the following questions.

What isthe risk premium of Z due to the second factor?