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Question 30 Portfolio X has an actual return of 20% Beta = 1.30 Market return = 15% Risk free = 4% Calculate Alpha. Show the

Question 30

Portfolio X has an actual return of 20%

Beta = 1.30

Market return = 15%

Risk free = 4%

Calculate Alpha.

Show the arbitrage portfolio to capture Alpha.

If you can borrow on margin $1,000,000, what is your arbitrage profit in dollars?

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