Construct a strategy that generates immediate cash flow

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There are two well-diversified portfolios A and B and a risk free asset in the market. The beta of A is =1.5

, with expected return =6.2%

The beta of B is=3.5

with expected return=4.2%

The risk free rate is=1.2%

Problem 1: Construct a strategy that generates immediate cash flow $100 today, and $0 at the end of the period.

Reference no: EM132712508

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