Question: PROBLEM SET 2 A zero-investment portfolio with a positive alpha could arise if: a. The expected return of the portfolio equals zero. b. The capital

PROBLEM SET 2 A zero-investment portfolio with a positive alpha could arise if: a. The expected return of the portfolio equals zero. b. The capital market line is tangent to the opportunity set. c. The Law of One Price remains unviolated. d. A risk-free arbitrage opportunity exists

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