An Arbitrage Portfolio Exists,including an Asset a with a Total $10.1 \%$

question 12

Multiple Choice

An arbitrage portfolio exists,including an asset A with a total market value of $60 000 and 100 other assets with a combined market value of $850 000.Assume that asset A is mispriced,with a pricing error of 17%,while the remainder of the assets are priced correctly according to the factor structure.What is the arbitrage portfolio pricing error?

• A) \( 10.1 \% \)
• B) \( 94.5 \% \)
• C) \( 1.1 \% \)
• D) \( 11.2 \% \)

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Sales Taxes Payable

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Current Liability

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Advance From Customers

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