Suppose the market index is a well-diversified portfolio with expected return 10% and that deviations of its return from expectation can serve as the systematic factor. The T-bill rate is 4%. Now consider portfolio G, which is well diversified with a beta of 1⁄3 and expected return of 5%. Does an arbitrage opportunity exist? If so, what is the arbitrage strategy? Show that the strategy results in risk-free profits with zero net investment.