Assume that the following portfolios A and B are well diversi?ed, with E[ra] = 9% and E[rb] = 11%.In a one factor economy with ?a = 0.8 and ?b = 1.2 and a risk-free rate of 8%:(a) establish an arbitrage. Especially, derive the exact holdings in A, B, and the risk free rate of anew portfolio (called X) so that X is an arbitrage opportunity.(b) Explain why X (from part i) of this question) is an arbitrage opportunity.(c) Now assume that B is the market portfolio and A is a single stock (IBM). Draw the SML. Arguewhy (or why not) you can still construct an arbitrage opportunity using A, B, and the risk-freerate. Can you think of a di?erent theory that might provide investment advice in this situation?