Question: 5. (9%) Consider the following data for a one-factor economy. All portfolios are well diversified. Suppose another portfolio E is well diversified with a beta

$5. (9\%) Consider the following data for a one-factor economy. All$

5. (9\%) Consider the following data for a one-factor economy. All portfolios are well diversified. Suppose another portfolio E is well diversified with a beta of 0.8 and expected retur of 6%. (2\%) a. Would an arbitrage opportunity exist? (7\%) b. If so, what would be the arbitrage strategy? (You need to specify long and shor of these portfolios.)

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