Suppose that there are two independent economic factors, F and F.
The risk-free rate is 3.3%, and all stocks have independent firm-specific components with a standard deviation of 15%.
Portfolios A and B are both well-diversified with the following properties:
Portfolio	for F	for F	Expected return
A	1.2	-0.3	20.1%
B	0.8	0.6	20.9%
What is the risk premium of the second factor, i.e., E[F]?
A	4%
B	8%
C	12%
D	16%