Suppose that APT holds with two independent economic factors, Fi and F2. The following are two well-diversified portfolios: 0 B Portfolio Expected Return Beta on F Beta on F2 7% 1 14% 1 1 Assume both portfolios are fairly priced and the risk-free rate is 2%. Consider a portfolio C with E(rc) = 15.5%, Bc = 0.5, and Bc2 = 1.5. Would an arbitrage opportunity exist? If so, what is an arbitrage portfolio consisting of A, B, C and the risk-free asset, assuming you buy or short-sell 1 million of the portfolio C? Suppose that APT holds with two independent economic factors, Fi and F2. The following are two well-diversified portfolios: 0 B Portfolio Expected Return Beta on F Beta on F2 7% 1 14% 1 1 Assume both portfolios are fairly priced and the risk-free rate is 2%. Consider a portfolio C with E(rc) = 15.5%, Bc = 0.5, and Bc2 = 1.5. Would an arbitrage opportunity exist? If so, what is an arbitrage portfolio consisting of A, B, C and the risk-free asset, assuming you buy or short-sell 1 million of the portfolio C