c) [12 marks] An investor can invest in a riskless asset and two portfolios with returns given by: r=+r++ Bi(rm -rf), where i=1, 2, and M is the return on the market portfolio. The alphas and betas are given by: 1=0.5%, 1=1, a2=-0.5%, 2=1.5. The riskless rate is 2%. The portfolios are well-diversified and, as a result, do not have idiosyncratic risks. Is there an arbitrage opportunity? If so, construct an arbitrage strategy that has a profit of $1. [Hint: find dollar amounts invested in stocks 1, 2, and the riskless asset such that the portfolio has zero value and riskless profit of $1.]