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Portfolio A has a beta of 13 and an expected return of 21%. Portfolio Bhas a beta of 7 and an expected return of 17%.

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Portfolio A has a beta of 13 and an expected return of 21%. Portfolio Bhas a beta of 7 and an expected return of 17%. The risk-free rate of return is 9%. If a hedge fund manager wants to take advantage of an arbitrage opportunity, she should take a short position in portfolio and a long position in portfolio 5 Multiple Choice O AA 88 BiA AB

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