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Consider the single factor CAPM and the following two portfolios' and risk-free asset's expected returns and betas: Assets E(r) Beta Risk-free asset 2% 0 Portfolio-X

Consider the single factor CAPM and the following two portfolios' and risk-free asset's expected returns and betas:

Assets E(r) Beta

Risk-free asset 2% 0

Portfolio-X 16% 1.2

Portfolio-Y 6% 0.4

What is the arbitrage return in your constructed portfolio?

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