The expected returns and estimated betas of four portfolios are as follow: Portfolios Expected return b A Required: 10 14 15 15 11 0.3 0.5 00-0 3506 1.0 0.6 b 12 0-00 2056 0.2 1.0 0.6 0.6 a. What is arbitrage? b. There is an arbitrage opportunity. How do you structure portfolios to take this arbitrage? (6 marks) c. If the maximum value allowed in short is $2 million, what is the possible maximum profit to be earned in the arbitrage? (2 marks) (2 marks)