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We observe three well-diversified portfolios A, B and C with a return of 15%, 6%, and 12% respectively in the market. We also know that
We observe three well-diversified portfolios A, B and C with a return of 15%, 6%, and 12% respectively in the market. We also know that portfolio A, B and C has a beta of 1.5, 0.5, and 1.0 respectively. Construct an arbitrage strategy, and how much is the arbitrage profit?
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