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AutoSave O A A . C G ... w FINA2320_D_2024_Tutorial 5 (covers L19-L21) - Compatibility Mode - Saved to my Mac Search (Cmd + Ctrl + U) Home Insert Draw Design Layout References Mailings Review View Comments Editing Share Times New... v 12.5 ~ A" A Aav A abA A AaBbCcDdEe AaBbCcDdEe AaBbCcD AaBbCcDc AaBbCcD AaBbCcDdEE Paste BIUvab X X A LA A Normal Medium Sha... Heading 1 Heading 2 Title Subtitle Style: Dictate Sensitivity Add-ins Editor Copilot Pane FINA2320_D_Tutorial 5 (covers L19-L21) THE UNIVERSITY OF HONG KONG HKU Business School FINA2320_D_Investments and Portfolio Analysis 1st SEMESTER, 2025-2026 Tutorial 7 (covers L19-L21) Question 1 (Problem Set 10.5) Consider the following data for a one-factor economy. Both portfolios are well diversified. Portfolio Expected Return E(r) Beta A 12% 1.2 F 6% 0.0 Suppose that another portfolio, portfolio E, is well diversified with a beta of 0.6 and expected return of 8%. Would an arbitrage opportunity exist? If so, what would be the arbitrage strategy? Page 1 of 7 851 words English (United States) 10 Accessibility: Unavailable Focus O = 7 - - 163%