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	3.1%	0.2
Asset Y	13.9%	2.4
Asset Z	7.1%	3.1

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

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