Consider the following one-factor model of asset return: rp=rf + ap + Bp x (rm rf)+ep where rp is the portfolio return, rf is the risk-free rate, I'm is the market portfolio return, and ep is the residual portfolio return. Consider a well-diversified portfolio P. The estimated beta and alpha of Portfolio P are 0.9 and 0.05, respectively. A. (1 point) What is the return on P? You do not need to show your calculation steps in this subquestion. B. (1 point) Consider a two-asset portfolio Q investing 90% in the market portfolio and 10% in the risk-free asset. What is the beta of Q? What is the return on Q? C. (1 point) Based on the results above, construct an arbitrage portfolio (A) including P and Q that has a zero risk (beta). You should determine the position of P and Q in the arbitrage portfolio A. What is the return on the arbitrage portfolio A? Consider the following one-factor model of asset return: rp=rf + ap + Bp x (rm rf)+ep where rp is the portfolio return, rf is the risk-free rate, I'm is the market portfolio return, and ep is the residual portfolio return. Consider a well-diversified portfolio P. The estimated beta and alpha of Portfolio P are 0.9 and 0.05, respectively. A. (1 point) What is the return on P? You do not need to show your calculation steps in this subquestion. B. (1 point) Consider a two-asset portfolio Q investing 90% in the market portfolio and 10% in the risk-free asset. What is the beta of Q? What is the return on Q? C. (1 point) Based on the results above, construct an arbitrage portfolio (A) including P and Q that has a zero risk (beta). You should determine the position of P and Q in the arbitrage portfolio A. What is the return on the arbitrage portfolio A