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You have been researching portfolios and have found an opportunity for an arbitrage profit with Portfolio X (Beta of 1.20), Portfolio Y (Beta of 0.75)
You have been researching portfolios and have found an opportunity for an arbitrage profit with Portfolio X (Beta of 1.20), Portfolio Y (Beta of 0.75) and risk-free Treasury Bills. What weight do you have to assign in the "New Portfolio" of Y and T-Bills to Portfolio Y to create the risk-less arbitrage profit?
1.33
1.60
1.40
1.67
1.50
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