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4. Consider the data for portfolios A and F below. Both portfolios are well diversified E(r) 1096 4 Beta 1.0 0 Portfolio Suppose another portfolio

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4. Consider the data for portfolios A and F below. Both portfolios are well diversified E(r) 1096 4 Beta 1.0 0 Portfolio Suppose another portfolio E is 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

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