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Assume that both X and Y are well-diversified portfolios and the risk-free rate is 8%. Portfolio Expected Return Beta X 16% 1.00 Y 12% 0.25
Assume that both X and Y are well-diversified portfolios and the risk-free rate is 8%. Portfolio Expected Return Beta X 16% 1.00 Y 12% 0.25 Do you see an arbitrage opportunity here in this single-factor economy? If so, what would be your arbitrage strategy? We can construct the zero-beta portfolio, using portfolio
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