[30%) Consider a 4factor model with factors F1, F2, F3 and F4 and the risk-free rate of 2%. The following are the sensitivities bij (to factor Fj) and expected returns {pi : i = 1, . . . , 5} of 5 well-diversied portfolios: Portfolio b 51:2 bis (a) Based on Portfolios 1, 2, 3, c1 and the risk-free ratej compute the factor risk premiums Ms) in the Arbitrage Pricing Theorem. (b) Suppose that Portfolio 5 is also taken into consideration. Is there any arbitrage opportunity? If so, construct an arbitrage strategy and compute the expected return of the strategy. (c) Assume that the equilibrium conditions hold so that the CAPM can be applied. Suppose that ,5F3M = {301(ngl'l/fL/clri1r = 1.5, where M is the market portfolio. 1What are the values of F1M, FM and F4M