Question: How to construct the unit factor portfolio for factor 1 with portfolio X, Y, and the risk-free asset: Well- diversified Portfolio Factor Sensitivity Factor Sensitivity

How to construct the unit factor portfolio for factor 1 with portfolio X, Y, and the risk-free asset:
Well- diversified Portfolio Factor Sensitivity Factor Sensitivity Portfolio Expected Return for for

Well- diversified Portfolio Factor Sensitivity Factor Sensitivity Portfolio Expected Return for for Factor 1 Factor 2 X 2.0 -3.0 6% Y 1.5 -1.0 8% The risk-free rate in the two-factor economy is 3%. All the above portfolios are priced based on APT.

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