Question: Consider a one factor Economy: There is a third well-diversified portfolio C. Its beta is 0.9. It has a forecasted return of 10%. Is there

Consider a one factor Economy:

There is a third well-diversified portfolio C. Its beta is 0.9. It has a forecasted return of 10%. Is there any arbitrage opportunity? If the answer is yes, how to construct the arbitrage portfolio?

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