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Suppose that there are two independent economic factors, F, and F2. The risk-free rate is...

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Suppose that there are two independent economic factors, F, and F2. The risk-free rate is unknown, and all stocks have independent firm-specific components with a standard deviation of 41%. Portfolios A and B are both well-diversified with the following properties. Portfolio A has betas on F1 and F2 equal to 1.2 and 0.7, respectively has an expected return of 17%. Portfolio B has betas on F1 and F2 equal to 0.9 and 1.7, respectively, and has an expected return of 20%. If the risk premium on F1 = 8%, what is the risk-free rate? (Enter as %.)

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