Well-diversified portfolio A has a beta of 1.0 and an expected return of 12%. Well-diversified portfolio B has a beta of 0.75 and an expected return of 9%. The risk-free rate is 4%. a. Assuming that portfolio A is correctly priced (has = 0), what should the expected return on portfolio B be in equilibrium? b. Explain the arbitrage opportunity that exists and explain how an investor can take advantage of it. Give specific details about what to buy and what to sell.