You are an investor and notice a diversified portfolio, D from the table below. Suppose you use a multifactor APT model and expect D to generate a return of 7.55% 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. Time A,% B, % C, % D% 1 12 6 7 12 E,% Market, % 8 9 - 10 15 9 2 6 21 -3 -5 3 -7 -2 -2 -2 -5 -4 4 13 7 14 17 21 14 5 12 9 18 24 24 16 6 12 4 5 14 10 10 $311.48 $311.48 $895.26 $895.26 $0 You are an investor and notice a diversified portfolio, D from the table below. Suppose you use a multifactor APT model and expect D to generate a return of 7.55% 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. Time A,% B, % C, % D% 1 12 6 7 12 E,% Market, % 8 9 - 10 15 9 2 6 21 -3 -5 3 -7 -2 -2 -2 -5 -4 4 13 7 14 17 21 14 5 12 9 18 24 24 16 6 12 4 5 14 10 10 $311.48 $311.48 $895.26 $895.26 $0