An investor is facing a single factor economy with two portfolio, both of which are well diversified and fairly priced:

• Portfolio A with an expected return of 13% and a systematic risk factor of 1.0
• Portfolio R with an expected return of 5% and a systematic risk factor of 0.0

Suppose another portfolio D is also well diversified with a beta of 5/6 and expected return of 9%. Would an arbitrage opportunity exist? If so, what would the arbitrage strategy be?