Need detail answer with explanation

SC Problem 5.20 Seybold owns a portfolio with the following characteristics. (Assume that returns are generated by a one-factor model) Security Factor sensitivity Proportion Expected return 2.0 0.20 20% M U 3.5 0.40 0.40 LO Seybold decides to create an arbitrage portfolio by increasing the holdings of security A by 0.20. i. What must be the weights of the other two securities in Stock's arbitrage portfolio? ii. What is the expected return on the arbitrage portfolio