Suppose that three stocks have returns which follow a two-factor returns generating process as described below. The two beta factors of each of the three stocks is presented in the accompanying table. The risk premiums for the-two factors are 1=4% and 2=2%. Assume that Stock B is undervalued and will be purchased while Stocks A and C are overvalued and will be shorted. Determine the weights of Stocks A and C in an arbitrage portfolio in which Stock B's weight is set to 1.0. (Report the weights as positive numbers.) E(RA)=bA11+bA22E(RB)=bB11+bB22E(RC)=bC11+bC22 Select one: a. -1.23 and .092 b. .30 and .70 c. .06 and .600 d. .40 and .60 e. 50 and .50 1. 332 and .668 g. 75 and .25