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Question 9 Suppose an investor invests her money in three different assets - land, bonds and stocks - and that three possible states can occur.

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Question 9 Suppose an investor invests her money in three different assets - land, bonds and stocks - and that three possible states can occur. Show that there is no state price vector for the returns matrix 1,05 1,05 R= 1,05 0,90 1,05 1,20 1,05 1,10 0,95 Find an arbitrage portfolio. 3

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