An APT model is based on two mutually independent systematic factors \(F_{1}\) and \(F_{2}\). The annual risk-free rate, with annual compounding, is \(4 \%\) (below we assume annual returns). We consider three well-diversified portfolios, \(i=\) \(A B C\), with the following features:

- Find the coefficients characterizing the APT model based on portfolios \(A\) and \(B\).
- If the expected return of portfolio \(C\) is as given in the table, are there arbitrage opportunities? If so, devise an arbitrage strategy.

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Portfolio Br1 Bi2 E[7] A 1.6 -0.8 9.5% B 0.5 1.3 11.7% C -0.1 0.4 4.1%