Question
Two well-diversified portfolios, A and B, have returns R A = 0.14 + 1.2F R B = 0.08 + 0.6F where F is a common
Two well-diversified portfolios, A and B, have returns
RA = 0.14 + 1.2F
RB = 0.08 + 0.6F
where F is a common risk factor with zero mean.
Is there an arbitrage opportunity in this case? If so, demonstrate how you could make an arbitrage profit.
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How To Read A Financial Report Wringing Vital Signs Out Of The Numbers
Authors: John A. Tracy , Tage C. Tracy
9th Edition
1119606462,1119606489
