Construct an arbitrage portfolio

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Suppose beta of three portfolios, A,B,C, are: Beta A= 0.7, Beta B= 1.5, Beta C= 1.1, and that expected returns are A= 5%, B= 9%, and C= 6%, respectively. How could you construct an arbitrage portfolio (in the APT sense)? Specifically, provide weights of the three securities in the arbitrage portfolio.

Reference no: EM132293116

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