2) Consider the following table and assume that CAPM holds. If we were to construct an arbitrage portfolio, what would be the weights of each portfolio? Portfolio A M F Expected Return 30% 12% 2% Beta 3 1 0 a) WA = 1 WA = -1,WM = 2,wp = -1 WA = -1,WM = 3, Wp = -2 d) wa = 1,WM = -2,we = 1 WA = 1, WM = -3,wp = 2