The following information is provided for a stock market in which asset returns respond to two factors:

Asset bj$1$ bj$2\backslash$mu j

A $1\mathrm{.}20\mathrm{.}416\%$

B $0\mathrm{.}81\mathrm{.}626\%$

r$0006\%$

Notation: bj$1$ and bj$2$ for j $=$ A$,$ B denote the responses of the rates of return on assets A and

B to the factors; $\backslash$mu j is the expected rate of return on each of the assets; and r$0$ is the risk$-$free

rate of return.

Construct a portfolio which gives unit weight to the first factor and zero weight to the

second factor.