The expected return on the market portfolio is 15%, the standard deviation of the market return is 25%, and the risk free rate is 5%. Suppose all the stocks follow a one factor structure with the market turn surprise as the only source of risk in the economy.

You find that Apple's Beta is 0.6 and has an expected return of 9%. Can you exploit an arbitrage opportunity using Apple, the market portfolio, and the risk free asset?

A. No, there is no arbitrage opportunity

B . Yes, there is an arbitrage opportunity of 5% risk free return

C.Yes, there is an arbitrage opportunity of 3% risk free return

D.Yes, there is an arbitrage opportunity of 10% risk free return

E.Yes, there is an arbitrage opportunity of 2% risk free return