Please show the work ~~

2. (17 points) Your analyst gives you the following information on three stocks that are correctly priced according to a 2-factor model. TA = 0.07+1f1+ 4f2 + 8,41 T3 = 0.04 + 3f1+ 2f2 + 83 To = 0.10 + 2f1+ 5f2 + 80 The factors satisfy E(f1) = E(f2) = 0, cov(f1, f2) = 0. The idiosyncratic risks satisfy E(eA) = E(eB) = E030) = 0, and they are uncorrelated with each other or either of the factors. Assume the following: - fl is the stock market factor - f2 is a risk factor capturing geo-political uncertainty from North Korea (don't worry about how to construct the factor, just assume your analyst has con- structed it) You want to invest in the stock market, to hopefully earn more than the bank interest rate. However, you are concerned that the stock market might tank due to the risk from f2. Using the above three securities, construct a stock portfolio that is immume to the f2 risk. Specically, construct a portfolio with beta=1 for the stock market factor while beta=0 for f2. Show the portfolio weights