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27) Consider the following data for a one-factor economy. All portfolios are well diversified. Portfolio E(r) 10% 4 Beta 1.0 0 Suppose another portfolio well

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27) Consider the following data for a one-factor economy. All portfolios are well diversified. Portfolio E(r) 10% 4 Beta 1.0 0 Suppose another portfolio well diversified with a beta of 2/3 and expected return of 9% would an arbitrage opportunity exist? If so, what would the arbitrage strategy be? (LO 7-4)

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