1. There are two well-diversified portfolios, A and B. Portfolio A has a beta of 0.9 and the expected return of 11%. Portfolio B has a beta of 1.4 and the expected return of 15%. The risk-free (lending) rate is 3%, while the risk-free borrowing rate is 5%. Is there an arbitrage opportunity? If so, how would you exploit it? Please report the weights of various assets in the portfolio(s) you would sell/buy, the expected returns of such portfolio(s), as well as your arbitrage profit(s).