Soru 1. Assuming a one-factor model, consider a portfolio composed of three securities with the following factor sensivities: security A has a sensitivity of 0.6. expected return of 12%, proportion of 0.4 security B has a sensitivity of 0.3. expected return 15%, proportion of 0.3: C has a sensitivity 1.2. expected return of 8%, proportion of 0.3. Jensen decides to create an arbitrage portfolio by increasing the holding of security B by 0.1. What must be the weights of the other securities in the portfolio, and the return on the arbitraj portfolio? weights:A(-0.15), C (0.05), retum 0.1 B weights:A(-0.05), C (-0.05), return +0.12 c weights:A(-0.05), C (-0.05), return +0.005 D weights:(0.10), C (-0.2), return 0.003 Soru 1. Assuming a one-factor model, consider a portfolio composed of three securities with the following factor sensivities: security A has a sensitivity of 0.6. expected return of 12%, proportion of 0.4 security B has a sensitivity of 0.3. expected return 15%, proportion of 0.3: C has a sensitivity 1.2. expected return of 8%, proportion of 0.3. Jensen decides to create an arbitrage portfolio by increasing the holding of security B by 0.1. What must be the weights of the other securities in the portfolio, and the return on the arbitraj portfolio? weights:A(-0.15), C (0.05), retum 0.1 B weights:A(-0.05), C (-0.05), return +0.12 c weights:A(-0.05), C (-0.05), return +0.005 D weights:(0.10), C (-0.2), return 0.003