1. Given a one-factor economy, determine whether the three well-diversified assets listed below are correctly priced (10 marks), and indicate an arbitrage transaction that could be used to profit from this pricing (10 marks). The risk-free return is 2%, while the factor premium is 8%. (Total: 20 marks) Asset Factor sensitivity Return A 13.00% B 1.2 11.60% 0.8 8.40% 1.5