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Consider the following data for a one-factor pricing model. Portfolio A B Er 14% 9% Beta 1.2 0.7 Suppose that another portfolio, portfolio C, with

Consider the following data for a one-factor pricing model. Portfolio A B Er 14% 9% Beta 1.2 0.7 Suppose that another portfolio, portfolio C, with a beta of 0.8 and expected return of 9.5%. Would an arbitrage opportunity exist? If so, what would be the arbitrage strategy? Assume the risk free rate is 4%

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