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(2) Investors have three types of securities. The expected rate of return and beta are listed below. Is there an arbitrage portfolio? If so, find

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(2) Investors have three types of securities. The expected rate of return and beta are listed below. Is there an arbitrage portfolio? If so, find this arbitrage portfolio. If not, give some explanations. securities expected rate of return beta A 10% 0.6 B 14% 1.3 12%

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