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c. Consider the following data for a one-factor economy. All portfolios are well diversified Portfolio...

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c. Consider the following data for a one-factor economy. All portfolios are well diversified Portfolio F EC) 12% 6% Beta 1.2 0.0 Suppose that another portfolio, portfolio E, is well diversified with a beta of 0.6 and expected return of 7%. Would an arbitrage opportunity exist? If so, what would be the arbitrage opportunity? [9 marks)

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