Suppose that another portfolio, portfolio E, is well diversified with a beta of 6 and expected return of 8%. Would an arbitrage opportunity exist? If so, what would be the arbitrage strategy? Assume that both portfolios A and B are well diversified, that E (ra) = 12%, and E(r) = 9%. If the economy has only one factor, and 1.2, whereas BB = .8, what must be the risk-free rate? BA = Assume that the risk-free rate of interest is 6% and the expected rate of return on the market is 16%. A share of stock sells for $50 today. It will pay a dividend of $6 per share at the end of the year. Its beta is 1.2. What do investors expect the stock to sell for at the end of the year?