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Suppose that you are converting a well-diversified portfolio (Portfolio P) into an arbitrage portfolio. The excess returns of Portfolio P can be explained by two

Suppose that you are converting a well-diversified portfolio (Portfolio P) into an arbitrage portfolio. The excess returns of Portfolio P can be explained by two factor APT model (i.e., Rp = Op + BRF(1) + BRF(2) + ep, where ap

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