Given the following three assets, determine whether an arbitrage opportunity exists according to the arbitrage pricing theory. If so, please calculate the excess return of the arbitrage portfolio; if there is no arbitrage opportunity, please enter zero as your answer. (Assume the weight in A is standardized to 1 or -1 depending on the position)

Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35.

Asset

E(r) (%)

Beta

Weights

A

9

1.0

B

14

1.6

C

3

0.0

The arbitrage excess return is

Answer

percent.

Answers must be entered with 2 decimal places and no dollar signs , e.g. 6 as 6.00; 32.346 as 32.35.