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calculate 0 beta portfolio Simple Arbitrage: Example 2 690 and two well diversified portfolios: Suppose rf Portfolio beta alpha 1.3 2% 0.9 190 Form a

calculate 0 beta portfolio

Simple Arbitrage: Example 2 690 and two well diversified portfolios: Suppose rf Portfolio beta alpha 1.3 2% 0.9 190 Form a zero beta portfolio P: E(rp) Arbitrage portfolio: . Short P (wp-1) and invest in risk-free rate F (WF +1) 192

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