不会解方程，求老师解答

问题如下：

According to the information provided in Exhibit 1, could an arbitrage portfolio most likely be created by some combination of portfolios D, E, and F?

选项：

A.No. B.Yes, and the portfolio would earn an expected return of 0.25%. C.Yes, and the portfolio would earn an expected return of 8.60%.

解释：

A is incorrect because there is an arbitrage opportunity.

B is correct. Portfolio E has a factor sensitivity of 1.2 and an expected return of 8.6%. A 50/50 portfolio created from portfolios D and F would have the same factor risk of 1.2 = (1.0 + 1.4)/2 but an expected return of 8.35% = (7.7% + 9.0%)/2. The arbitrage opportunity is creating by purchasing portfolio E and shorting the 50/50 portfolio of D and F. This portfolio would be expected to earn 8.60% and pay out 8.35%, for a net of 0.25%.

C is incorrect because this is simply the long expected return minus the short expected return.