A zero-investment portfolio with a positive alpha could arise if: a. The expected return of the portfolio

Question:

A zero-investment with a positive alpha could arise if:
a. The of the equals zero.
b. The capital market line is tangent to the opportunity set.
c. The Law of One Price remains unviolated.
d. A risk-free arbitrage opportunity exists.

Expected Return
The expected return is the profit or loss an investor anticipates on an investment that has known or anticipated rates of return (RoR). It is calculated by multiplying potential outcomes by the chances of them occurring and then totaling these... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...