Consider two perfectly negatively correlated risky securities A and B. Security A has an expected

rate of return of 10% and a variance of 0.0144. Security B has an expected rate of return of 6% and a

variance of 0.0081. There is also a risk-free security which offers a certain rate of 5%.

Is there an arbitrage opportunity?

If yes, explain how you can exploit it. If not, show why there is no arbitrage.