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Portfolio B E(r) 12% A 1.2 F 4% 0.0 Suppose that another portfolio, portfolio E, is well diversified with a beta of 0.9 and expected

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Portfolio B E(r) 12% A 1.2 F 4% 0.0 Suppose that another portfolio, portfolio E, is well diversified with a beta of 0.9 and expected return of 11%. a. Why would this information imply that an arbitrage opportunity exists? b. What is the optimal arbitrage strategy? c. Calculate the profit of this arbitrage

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