Question: Problem 1 Part B (Exercise n. 22 in the book). Consider the following data for a single-factor economy. All portfolios are well diversified Suppose another

Problem 1 Part B (Exercise n. 22 in the book). Consider

Problem 1 Part B (Exercise n. 22 in the book). Consider the following data for a single-factor economy. All portfolios are well diversified Suppose another portfolio E is well diversified with a beta of 2/3 and expected return Portfolio E(r) Beta A 10% F4% of 9%. Would an arbitrage opportunity exist? If so what would the arbitrage strategy be? (Exercise 23 in the book) Assume both portfolios A and B are well diversified, that E(rA) 14% and E(rB) = 14.8%. If th economy has only one factor and = 1 while BB1.1, what must be the risk-free rate

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