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Consider the following data for a single-factor economy. All portfolios are well diversified Suppose another portfolio E is well diversified with a beta of 0.8

Consider the following data for a single-factor economy. All portfolios are well diversified Suppose another portfolio E is well diversified with a beta of 0.8 and expected return of 8%

Portfolio	E(r)	Beta
A	12%	1.1
F	6%	0

Would an arbitrage opportunity exist? If so what would the arbitrage strategy be?

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