Factor sensitivity as the out-of-line portfolio

Question

Problem: Assuming a one-factor model of the form:

Ri=4% + biF+ei

Portfolio                 Factor Sensitivity           Expected Return
A                                 0.80                                 10.4%
B                                 1.00                                  10.0
C                                 1.20                                  13.6


Is one of the portfolio’s expected return not in line with the fractor model relationship? Which one? Can you construct a combination of the other two portfolios that has the same factor sensitivity as the “out-of-line” portfolio? What is the expected return of that combination? What action would you expect investors to take with respect to these three portfolios?