Suppose there are two securities A & B. Security A has a beta of 1.0 and an expected return of 12% while Security B has a beta of 0.75 and an expected return of 11%. If the risk-free rate is 6%, find if arbitrage opportunity exists and explain how an investor can take advantage of it. Your strategy should include details about which asset you should buy and sell to form a portfolio.

Suppose there are two securities A & B. Security A has a beta of 1.0 and an expected return of 12% while Security B has a beta of 0.75 and an expected return of 11%. If the risk-free rate is 6%, find if arbitrage opportunity exists and explain how an investor can take advantage of it. Your strategy should include details about which asset you should buy and sell to form a portfolio