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Arbitrage opportunity in the market

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Reference no: EM133060985

We have two economic factors ??1 and ??2 in a two-factor APT model. We have the following data on three well-diversified portfolios.

Asset

Expected return

bi1

bi2

A

7.8%

2

3

B

4.6%

-1

2

C

2.2%

-2

2

If the risk-free rate is 1%, is there any arbitrage opportunity in the market?

Reference no: EM133060985

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