Question: Explain solution please. Consider the following table and assume that CAPM holds. If we were to construct an arbitrage portfolio, what would be the weights

Explain solution please. Consider the following table and assume that CAPM holds. Explain solution please.

Consider the following table and assume that CAPM holds. If we were to construct an arbitrage portfolio, what would be the weights of each portfolio? Portfolio A M F Expected Return 30% 12% 2% Beta 3 1 0 a) wa = 1 b) wa = -1,wm = 2, we = -1 c) WA = -1, wm = 3,we = -2 d) wa = 1, wm = -2,wp = 1 e) wa = 1, wm = -3, wf = 2

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