6. Consider the following data for a single-factor economy. All portfolios are well diversified. Portfolio A B E[r] 10% 9% β 2/3 If the risk-free rate is 4%, does an arbitrage opportunity exist? If so, what would an arbitrage strategy be?
6. Consider the following data for a single-factor economy. All portfolios are well diversified. Portfolio A B E[r] 10% 9% β 2/3 If the risk-free rate is 4%, does an arbitrage opportunity exist? If so, what would an arbitrage strategy be?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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This question must be answered using APT i think
![6. Consider the following data for a single-factor economy. All portfolios are well diversified.
Portfolio
A
B
E[r]
10%
9%
β
2/3
If the risk-free rate is 4%, does an arbitrage opportunity exist? If so, what would an arbitrage
strategy be?](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fa951da03-b249-483c-b88d-fcf0ef26deb7%2Fec443eff-d035-4afc-8f2d-2b9ac036b1b3%2Fd953d8_processed.png&w=3840&q=75)
Transcribed Image Text:6. Consider the following data for a single-factor economy. All portfolios are well diversified.
Portfolio
A
B
E[r]
10%
9%
β
2/3
If the risk-free rate is 4%, does an arbitrage opportunity exist? If so, what would an arbitrage
strategy be?
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