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Consider the following data for a one-factor economy. All portfolios are well diversified. Suppose that another portfolio, portfolio E, is well diversified with a beta

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Consider the following data for a one-factor economy. All portfolios are well diversified. Suppose that another portfolio, portfolio E, is well diversified with a beta of .4 and expected return of 9%. Would an arbitrage opportunity exist? If so, what would be the arbitrage strategy

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