Question: 4. (20 marks) Consider the following data for a one-factor economy. All portfolios are well diversified. Portfolio Elr) Beta 10% 1.0 Suppose another portfolio E
4. (20 marks) Consider the following data for a one-factor economy. All portfolios are well diversified. Portfolio Elr) Beta 10% 1.0 Suppose another portfolio E is well diversified with a beta of 2/3 and expected return of 9%. Would an arbitrage opportunity exist? If so, what would the arbitrage strategy be
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