Suppose assets are priced by 3 factors: F1, F2 and F3. In addition, we know rf = 5%, RP1 = 1%, RP2 = 2%, RP3 = 3%, where RP; is the risk premium for factor portfolio i E {1,2,3}.There is a well-diversified portfolio A with a factor loading of 1 on each of the three factors (i.e., BA,1 = BA,2 = BA.3 = 1. (a) What is the expected return of A if there is no arbitrage? (b) Suppose the expected return of portfolio A is 10%. Can you find an arbitrage opportunity? If so, what is a trading strategy that generates riskless profits? Suppose assets are priced by 3 factors: F1, F2 and F3. In addition, we know rf = 5%, RP1 = 1%, RP2 = 2%, RP3 = 3%, where RP; is the risk premium for factor portfolio i E {1,2,3}.There is a well-diversified portfolio A with a factor loading of 1 on each of the three factors (i.e., BA,1 = BA,2 = BA.3 = 1. (a) What is the expected return of A if there is no arbitrage? (b) Suppose the expected return of portfolio A is 10%. Can you find an arbitrage opportunity? If so, what is a trading strategy that generates riskless profits