isider the Iollowing data for a single-index econo All portiollos are well diversiled. Portfolio E(r) Beta 10% 1.0 F 4 Suppose another portfolio E is well diversified with a beta of 2/3 and expected return of 9%. Is there an arbitrage opportunity? If so, what is it? ( LO 7-4)

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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27. Consider the following data for a single-index economy. All portfolios are well diversified.
Portfolio
E(r)
Beta
A
10%
1.0
F
4
Suppose another portfolio E is well diversified with a beta of 2/3 and expected return of 9%. Is there an arbitrage
opportunity? If so, what is it? (C LO 7-4)
Transcribed Image Text:27. Consider the following data for a single-index economy. All portfolios are well diversified. Portfolio E(r) Beta A 10% 1.0 F 4 Suppose another portfolio E is well diversified with a beta of 2/3 and expected return of 9%. Is there an arbitrage opportunity? If so, what is it? (C LO 7-4)
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