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Consider the following data for a single-factor economy
Consider the following data for a single-factor economy. Both portfolios A and F are well diversified and fairlyr priced: Portfolio E(r) 0!.) Beta A 10 1.0 F 4 0 Suppose another portfolio E is also well diversified with a beta of 2B and expected return of 9%. Would an arbitrage opportunity exist? If so, what would the arbitrage strategy be?
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