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In the single-index APT model, consider two well-diversified portfolios with betaA equals 0.9 and betaB...

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Finance

In the single-index APT model, consider two well-diversified portfolios with betaA equals 0.9 and betaB equals 1.1. If the market excess return is market rate - risk-free rate = 3%, what is the value of rA - rB ?

a) N.A

b) 0%

c) -0.6%

d) 1.2%

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