Portfolio i's return is described by the following two-factor model:

ri - rf = -2% - 0.8(rm - rf ) + 1.4(re - rf ), where rm is the return on the market index, re is the return on a real estate index and rf is the

risk-free rate.

Construct a pure arbitrage trade using the market index, a real estate index, a risk-free asset

(such as T-bills) and Portfolio i. What are your overall weights in each asset?