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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Crypto Asset Investing In The Age Of Autonomy
Authors: Jake Ryan
1st Edition
1119705363, 978-1119705369
