11. (a) Three widely diversified portfolios are shown in the following table. Portfolio Expected return bil A 18 1.0 B 14 2.5 10 0.8 0.8 1.0 0.2 Find the APT model (b) Based on the data specified from (a), there is a portfolio named D constructed by placing 1/3 of the funds in portfolio A. 1/3 of the funds in portfolio B. and 1/3 of the funds in portfolio C. Another portfolio is given by Portfolio Expected return ba big 1.4333 0.6667 E 15 Compare the portfolios D and E. (e) To make $3 profit from arbitraging D and how much amount of funds one need to buy E and sell D short? Present the solution also in table form. 11. (a) Three widely diversified portfolios are shown in the following table. Portfolio Expected return bil A 18 1.0 B 14 2.5 10 0.8 0.8 1.0 0.2 Find the APT model (b) Based on the data specified from (a), there is a portfolio named D constructed by placing 1/3 of the funds in portfolio A. 1/3 of the funds in portfolio B. and 1/3 of the funds in portfolio C. Another portfolio is given by Portfolio Expected return ba big 1.4333 0.6667 E 15 Compare the portfolios D and E. (e) To make $3 profit from arbitraging D and how much amount of funds one need to buy E and sell D short? Present the solution also in table form