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This question pertains to a problem in the textbook Investments 10th edition by Bodie/Kane/Marcus, chapter 10, problem 8c. I don't get why problem 8c solutions
This question pertains to a problem in the textbook "Investments" 10th edition by Bodie/Kane/Marcus, chapter 10, problem 8c. 
I don't get why problem 8c solutions say that there is no arbitrage opportunities. For example, security A's beta is 0.8, and market risk premium is 12% (based on security B). Why isn't security A's risk premium 0.8*12% = 9.6% and hence exist arbitrage opportunities?
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Derivative Products And Pricing The Das Swaps And Financial Derivatives Library
Authors: Satyajit Das
1st Edition
0470821647, 9780470821640
