2. Consider the following securities and their sensitivities to two factors (the factors have zero means): Stock A: ra,t = 8 + 5F1,1 + 6F2, + eA,t Stock B: 1B, Riskfree: rf=1 +6+4F1, + 1F2,4 + eB, a. Construct a portfolio out of stocks A and B which is riskless in terms of factor 2. You may sell short either A or B if necessary. (i) What are wa and WB for this portfolio? (ii) How sensitive is this portfolio to factor 1 (that is, how many units of factor 1 risk)? (iii) Given your answers to a) and b), what is the risk premium per unit of factor 1 risk, 21? 2. Consider the following securities and their sensitivities to two factors (the factors have zero means): Stock A: ra,t = 8 + 5F1,1 + 6F2, + eA,t Stock B: 1B, Riskfree: rf=1 +6+4F1, + 1F2,4 + eB, a. Construct a portfolio out of stocks A and B which is riskless in terms of factor 2. You may sell short either A or B if necessary. (i) What are wa and WB for this portfolio? (ii) How sensitive is this portfolio to factor 1 (that is, how many units of factor 1 risk)? (iii) Given your answers to a) and b), what is the risk premium per unit of factor 1 risk, 21