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5. Consider the following data for a one-factor economy. All portfolios are well diversified. Portfolio ET) Beta 12% 1.2 F 6% 0.0 Suppose that another

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

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