Consider the following data for a one-factor economy all, Financial Management

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Consider the following data for a one-factor economy all

Consider the following data for a one-factor economy. All portfolios are well diversified. Portfolio A: E(r)=12% Beta=1.2%, Portfolio F E(r)=6% Beta=0% Suppose that another protfolio E is well diversified with a beta of 0.6 and expected return of 7%. Construct an arbitrage strategy by investing $1 in the long position and $1 in the short position. What is the profit for the arbitrage strategy?

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Financial Management: Consider the following data for a one-factor economy all

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Financial Management: Consider the following data for a one-factor economy all

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