Assume that the returns on individual securities are generated by the following two-factor model R_i = E(R_i) + beta_i1F_1 + beta_i2F_2 Where R_i is the return on security i and F_1t and F_2t are market factors with zero expectation and zero covariance. Also assume that there is a capital market for four securities. Short sales, (i.e., negative positions) are permitted. Construct a portfolio containing (long or short) securities A and B, with a return that does not depend on factor 1, F_1, in any way.^1 Compute the expected return and beta_2p coefficient for this portfolio. Following the procedure in (a), construct a portfolio containing securities C and D with a return that does not depend on factor 2, F_2. Compute the expected return and beta_2P coefficient for this portfolio. If there is a risk-free asset with an expected return equal to 5%, describe a possible arbitrage opportunity in such detail that an investor could easily implement it. What effect would the existence of these kinds of arbitrage opportunities have on the capital markets for these securities in the short run and the long run? Assume that the returns on individual securities are generated by the following two-factor model R_i = E(R_i) + beta_i1F_1 + beta_i2F_2 Where R_i is the return on security i and F_1t and F_2t are market factors with zero expectation and zero covariance. Also assume that there is a capital market for four securities. Short sales, (i.e., negative positions) are permitted. Construct a portfolio containing (long or short) securities A and B, with a return that does not depend on factor 1, F_1, in any way.^1 Compute the expected return and beta_2p coefficient for this portfolio. Following the procedure in (a), construct a portfolio containing securities C and D with a return that does not depend on factor 2, F_2. Compute the expected return and beta_2P coefficient for this portfolio. If there is a risk-free asset with an expected return equal to 5%, describe a possible arbitrage opportunity in such detail that an investor could easily implement it. What effect would the existence of these kinds of arbitrage opportunities have on the capital markets for these securities in the short run and the long run