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3. Consider the following data for a one-factor market. All portfolios are well diversified. Portfolio E(r) Beta A 12% 1.2 F 6% 0.0 Suppose that

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3. Consider the following data for a one-factor market. All portfolios are well diversified. Portfolio E(r) Beta A 12% 1.2 F 6% 0.0 Suppose that another portfolio, portfolio E, is well diversied with a beta of .6 and an expected return of 8%. Would an arbitrage opportunity exist? If so, what would be the arbitrage strategy

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