An investor can go either long or short in three well diversified portfolios, A, B and C and a risk free asset that returns 3%. The investor thinks that the returns on these portfolios can be described by a two factor model, where F1 and F2 are factors with expected value equal to zero, that affect portfolio returns according to the following table, showing expected excess rate of return and with respect to each factor.

	exp return	beta 1	beta 2
A	14%	1.2	0.8
B	13%	1	0.7
C	15%	1.4	0.8
Risk free	3%	0	0

Is it possible for this investor to construct an arbitrage portfolio and if so, then how?