E Byt There are two systematic factors in a hypothetical economy. The GDP factor is denoted by f1 and the Interest Rate factor is denoted by f2. A, B, C, and D are four portfolios in this economy. They have the following structure of returns Rat = 6%+1.0f1t+1.0f2t + EA, RBt = 8%+2.0f1t +0.5f2t + Rct = 1.9%+f1t, Rot = 3.7% +2.0f2t The means of both factors are 0. The standard deviation of f1 is 30% and the standard deviation of f2 is 10%. The two factors are not correlated with each other. The risk free rate is 0%. Are there any arbitrage opportunities among these assets? O a. It depends on whether the risk premium is 1.9 or 3.7 O b. Not enough information O c. Yes there are arbitrage opportunities O d. There are NO arbitrage opportunities E Byt There are two systematic factors in a hypothetical economy. The GDP factor is denoted by f1 and the Interest Rate factor is denoted by f2. A, B, C, and D are four portfolios in this economy. They have the following structure of returns Rat = 6%+1.0f1t+1.0f2t + EA, RBt = 8%+2.0f1t +0.5f2t + Rct = 1.9%+f1t, Rot = 3.7% +2.0f2t The means of both factors are 0. The standard deviation of f1 is 30% and the standard deviation of f2 is 10%. The two factors are not correlated with each other. The risk free rate is 0%. Are there any arbitrage opportunities among these assets? O a. It depends on whether the risk premium is 1.9 or 3.7 O b. Not enough information O c. Yes there are arbitrage opportunities O d. There are NO arbitrage opportunities