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Recall that the definition of arbitrage required thesatisfaction of three conditions: one about weights, one about riskand one about returns. Consider the following scenario in aone-factor APT:E[r]B1Asset X3.7%0.1Asset Y4.5%2.1Asset Z14.9%3.1What is the expected return of an arbitrage portfolio composedof all three assets, X, Y and Z? Weights will be between +1 and-1.Answer in percentage without the symbol, i.e. #.##% -->#.##
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