15.(12 points) Consider the following data for an economy where a one-factor APT holds. All portfolios are well diversified. Portfolio | Er Beta A 10% 1.0 F 8% 0.6 a) What is the factor risk premium in this economy? (b) What is the risk-free rate in this economy? c) Suppose another portfolio E is well diversified with a beta of 0.8 and an return of 10%. Would an arbitrage opportunity exist? If yes, ex arbitrage strategy? ersified with a beta of 0.8 and an expected st? If yes, explain what would be your 15.(12 points) Consider the following data for an economy where a one-factor APT holds. All portfolios are well diversified. Portfolio | Er Beta A 10% 1.0 F 8% 0.6 a) What is the factor risk premium in this economy? (b) What is the risk-free rate in this economy? c) Suppose another portfolio E is well diversified with a beta of 0.8 and an return of 10%. Would an arbitrage opportunity exist? If yes, ex arbitrage strategy? ersified with a beta of 0.8 and an expected st? If yes, explain what would be your