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Value of the long position

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There are three well-diversified portfolios A, B and C with alphas of 0.0132, 0.0289 and 0.0579, respectively, and betas of 1.27, 1.15 and 1.50, respectively. The risk-free rate is 4.7% p.a., the market risk premium is 8% p.a., and the standard deviation of market returns is 21% p.a. You are permitted to choose only one portfolio among the three well-diversified portfolios. Suppose the value of the long position is $35.34 million, your largest arbitrage profits in would be_____million.

Reference no: EM131201853

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