please let me know how to solve this

4/4 8. (5 points) Consider the following data for a one-factor economy. All portfolios are well diversified. Portfolio EO) Beta LA 10% 1.0 0 4% E 9% Suppose another portfolio E is well diversified with a beta of 2/3 and expected return of 9%. You expect that there is an arbitrage opportunity and create an arbitrage portfolio by short selling the portfolio A whose portfolio weight is -1. What is the return on the arbitrage portfolio? (a) 0.0%. (b) 4.0%. (C) 5.3%. (d) 7.5%. (e) None of the above is right. My answer is