Plesse solve A$,$ B

Suppose the benchmark, M$,$ is the observed broad market index. Imagine that on December $31,2023,$ a portfolio manager possessed the following predictions based on security and macro analysis:

$1$ The risk$-$free rate on T$-$bills over the next year is estimated at $2\mathrm{.}2\%.$

$2$ The return on the market benchmark is estimated at $5\mathrm{.}0\%.$

$3$ A highly diversified portfolio, $P,$ is composed of large$-$capitalization stocks and is believed to be underpriced. Its expected return is forecast at $6\mathrm{.}0\%.$

$4$ Portfolio P$\text{'}$s beta against the benchmark is estimated at $0\mathrm{.}95.$

A$.$ Compute the abnormal return, alpha, for the portfolio $P.$

B$.$ The portfolio manager tries to construct an arbitrage portfolio using the portfolio $P$ and the benchmark $M,$ and the T$-$bills. Compute the weights for each asset of the arbitrage portfolio.