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A,B, and C are well-diversified portfolios in the above diagram. If there is an arbitrage profit, what is the magnitude of it and how would
A,B, and C are well-diversified portfolios in the above diagram. If there is an arbitrage profit, what is the magnitude of it and how would you take advantage of it? 5.4%; Shortsell B and take a long position in A 1.6%; Shortsell C and take a long position in A 1.6%; Shortsell C and take a long position in B 2.1\%; Shortsell an equally-weighted portfolio of A and the risk-free and take a long position in B 2.1%; Shortsell B and take a long position in an equally weighted portfolio of A and the risk-free
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