How much should be invested in each of the stocks in exercise 6.3 to design two portfolios?

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How much should be invested in each of the stocks in exercise 6.3 to design two portfolios? The first portfolio has the following attributes:

factor 1 beta 1 factor 2 beta 0 The second portfolio has the attributes:

factor 1 beta 0 factor 2 beta 1 Compute the expected returns of these two portfolios. Then compute the risk premiums of these two portfolios assuming the risk-free rate is var( ˜ A) .01 var( ˜ B) 0.4 var( ˜ C) .02,

the “zero-beta rate” implied by the factor equations for the three stocks in exercise 6.3. This is the expected return of a portfolio with factor betas of zero.AppendixLO1

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