b) Consider a single-factor model economy. Portfolio M has a beta of 1.0 on the factor and portfolio P has a beta of 0.5 on the factor. The expected returns on portfolios M and P are 19% and 10.5%, respectively. The risk-free rate is 6%. Short selling is possible. There are no transaction costs or other frictions. i. Calculate the alpha of a zero-beta portfolio Z. ii. Design a trading strategy that takes advantage of the alpha from part (i). Calculate the expected profit of your strategy, assuming that your short position has a value of 200,000. (12 marks)