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, as follows: TA = E(TA) + 1,2 F +0,8 F2, E(A) = 14% E(TB) + 1,0 F1+0,7 F2, E(TB) = 13% rc = E(rc) + 1,4 F +0,8 F2, E(rc) = 15% = . . . Where F, and F are factors that affect portfolio returns. Their expected value is zero. Is it possible for this investor to construct an arbitrage portfolio and if so, then how?