Question: Assume that the following one-factor model describes the expected return for portfolios: E(Rp)=0.10+0.12p,1 Also assume that all investors agree on the expected returns and factor

Assume that the following one-factor model describes the expected return for

Assume that the following one-factor model describes the expected return for portfolios: E(Rp)=0.10+0.12p,1 Also assume that all investors agree on the expected returns and factor sensitivity of the three highly diversified Portfolios A, B, and C given in the following table: Assuming the one-factor model is correct and based on the data provided for Portfolios A, B, and C, determine if an arbitrage opportunity exists and explain how it might be exploited

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