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please solve the above question of finance within an hour 2. Dandelion Pfeffer owns a portfolio with the following characteristics: Assume that the retums are
please solve the above question of finance within an hour
2. Dandelion Pfeffer owns a portfolio with the following characteristics: Assume that the retums are generated by a two-factor model. Dandelion decides to create an arbitrage portfolio by increasing the holding of Security B by 0.05 . (a) What must be the weights of the other three securities in Dandelion's portfolio? (b) What is the expected return on the arbitrage portfolio? (c) What is the expected retum on the new portfolio after arbitrage? (d) Explain the significance of APT line. (3+2+2+3)Step by Step Solution
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