15.

Consider the data for a one-factor economy. The risk-free rate is 0.03. Well diversified portfolio A has expected return of 0.08 and beta of 2.5. Well diversified portfolio B has expected return of 0.1 and beta of 0.5. How do you construct a portfolio with zero-investment, zero-beta, and positive risk premium?

		A: -20%, B: 100%, Risk-free: -80%
		A: 100%, B: -20%, Risk-free: -80%
		A: -200%, B: 100%, Risk-free: 100%
		There is no arbitrage opportunity
		A: 100%, B: -500%, Risk-free: 400%