Question: Consider a one-factor model of expected returns along with the following well-diversified portfolios and determine whether any arbitrage opportunity exists if short-selling of risky assets

Consider a one-factor model of expected returns along with the following well-diversified portfolios and determine whether any arbitrage opportunity exists if short-selling of risky assets is prohibited. If there is an opportunity, quantitatively illustrate your arbitrage strategy over a 1,000,000 trade.

	p1	p2	f
beta	1.20	.20	.00
E(R)	.15	.05	.04

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