You are an investor and notice a diversified portfolio, B from the table below. Suppose you use a multifactor APT model and expect B to generate a return of 7.25% during the next year. Using a risk-free rate of 4%, a market risk premium of 6%, calculate the beta and CAPM then determine how much arbitrage profit you could generate on a $100,000 position: E. % Market, % Time A % 1 12 2 6 B. % C.% 6 7 1 D. 96 12 -5 8 9 21 -3 - 10 15 -4 3 -7 -2 -2 -5 2 14 4 13 7 17 21 14 5 9 18 24 16 12 12 24 10 6 4 5 14 10 $807.38 5826.64 5826.64 $80738 50 O Oo 3 5 You manage a risky portfolio with expected rate of return of 15% and a standard deviation of 32%. The T-bill rate is 4%. You've determined that your client has a risk aversion of 2. What proportion of her investment should be allocated to your risky portfolio? 24.14% 62.50% 52.71% 38.92%