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You are testing the no-arbitrage principle of the APT, and you find a well-diversified portfolio with a of 0.9 with respect to the market portfolio,

You are testing the no-arbitrage principle of the APT, and you find a well-diversified portfolio with a of 0.9 with respect to the market portfolio, M. You also have a risk-free asset, rf. Create a mimicking portfolio and show that its beta is also 0.9.

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