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Suppose we live in a one-factor world and there are three assets and all are well-diversified. Expected returns are annual. Assets Beta Expected Return L

Suppose we live in a one-factor world and there are three assets and all are well-diversified. Expected returns are annual.

Assets	Beta	Expected Return
L	0.2	4%
C	0.6	8%
H	1.2	12%

Is there an arbitrage opportunity?

How could you construct an arbitrage portfolio to make a sure profit of $1000 a year from now.

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