Problem 2 Recall that the problem of nding an arbitrage opportunity in a market with N assets whose prices are given as p E \"R\" and whose payoffs are given as P E RMXN can be posed as the LP: minimize pTrr subject to P1: 33 [l pTrr = 1 Suppose now that there are transaction oosts. In particular, for each 3' E {1, .. .,N} we must pay a transaction cost of 9;; :3 0 per unit of the jth contingent claim bought or sold short. Provide a linear program that nds an arbitrage opportunity [if it exists] which minimizes the transaction cost incurred for every unit of current prot. Make sure that the optimization problem you provide is written as a linear program; that is the objective function and constraints are linear