$4$ marks$)$ Consider a single$-$factor model economy. Portfolio M has a beta of $1\mathrm{.}0$ on the factor and portfolio P has a beta of $0\mathrm{.}5$ on the factor. The expected returns on portfolios M and P are $11\%$ and $17\%,$ respectively. Assume that the risk$-$free rate is $6\%$ and that arbitrage opportunities exist. Suppose your fund$$s size is $100,000,$ i$.$e$.$ both of your long and short position will be $100,000.$ What would be your expected profit from forming a zero$-$beta portfolio Z and taking the arbitrage opportunity?

$-8,500$

$0$

$8,500$

$4,000$

None of the above