Consider the following two factor model for the returns of three stocks. Assume that the factorsand ej have zero mean, that all the factors have variance of 0.01 and are uncorrelated, and thatvar [ea] = 0.01, var[€ь] = 0.04, and var[€] = 0.02.ra = 0.13 + 6F1 + 4F2 + €arb = 0.15 + 2F1 + 2F2 + €brc = 0.07 + 5F1 - Fz + €ca. What are the expected returns of the assets.b. Find the variance-covariance matrix of the return to the three assets.c. Construct one portfolio with B1 = 0, 2 = 1, and a portfolio with B1 = 1, B2 = 0. B=betad. Compute the expected return and risk premia of these two portfolios.