Recall that the definition of arbitrage required the satisfaction of three conditions: one about weights, one about risk and one about returns. Consider the following scenario in a one-factor APT:

	E[r]	B1
Asset X	3.8%	0.9
Asset Y	3.5%	2.1
Asset Z	13.9%	3.3

What is the expected return of an arbitrage portfolio composed of all three assets, X, Y and Z? Weights will be between +1 and -1.