Consider the following two-factor model for the returns of three stocks. Assume that the factors and epsilons have means of zero. Also, assume the factors have variances of .01 and are uncorrelated with each other. T = .13 + 6 + 4 + a B = .15 + 2 + 2 + EB rc = .07 + 5 1 + Ec 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 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.