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Consider a one factor economy where the risk-free rate is 5%, and portfolios A and B are well diversified portfolios Portfolio A has a beta

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Consider a one factor economy where the risk-free rate is 5%, and portfolios A and B are well diversified portfolios Portfolio A has a beta o 0.4 and an expected return of 6%, while Portfolio B has a beta of 0.8 and an expected return of 11%. Is there an arbitrage opportunity in this economy? If yes, how could you exploit it? (Please detail your computations and reasoning) TTT Arial 3 (12pt) T- 1

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