Assume that a single-factor model properly captures returns and that you have correctly identified this factor. There are two assets (not necessarily stocks), A and B, with E(r ) E(r ). Consider the following statements: I. If E(r ) > E(r ), there is always an arbitrage opportunity. II. If A and B are well-diversified portfolios and = , then arbitrage is possible. III. If (e ) and (e ) are substantially greater than zero, and = , then arbitrage is possible.