i need only part C, not A and B alone.

This question consists of two parts. (1) Assume that security returns are generated by the single-index model: R-a + B.Routeis where R, is the return for security i, and Rm is the market's return. The risk-free rate is 3%. The standard deviation of market returns Om =0.20. Suppose also that there are three securities, X, Y, and Z, characterized by the following data: Security B. E(R) Os A 0.4 0.09 0.20 B 0.8 0.15 0.10 1.4 0.18 0.23 A) Calculate the variance of returns of securities X, Y, and Z. B) Calculate the covariance of securities X and Y. C) Is there an arbitrage opportunity in the market? Explain the arbitrage opportunity that exists; explain how an investor can take advantage of it. Give specific details about how to form the portfolio, what to buy and what to sell