Show in detail your calculations. Note there are multiple answers.

[MULTIPLE] Consider a single-factor model economy. Portfolio M has a beta of 1.0 on the factor and portfolio P has a beta of 0.5 on the factor. The expected returns on portfolios M and P are 11% and 17%, respectively. Assume that the risk-free rate is 6% and that arbitrage opportunities exist. Suppose your form a zero-beta portfolio Z to take the arbitrage opportunity. Your long and short position have to be both 100,000. Which of the following statements are correct? Your expected profit from taking the arbitrage opportunity is 4000. You invest in portfolio P. You invest in portfolio M. You invest at risk-free rate. You buy the portfolio Z