Is there an arbitrage opportunity if the forward price is different from the true expected value of the asset?

Assume an arbitrage-free market. Let's say that the current price of an asset is $$100$$, its forward price in 1 month is $$110$$

Is it possible that the true expected value of the asset is not $$110$$? Sheldon Natenburg in Option Volatility and Pricing says that

If we assume that the underlying market is arbitrage-free, the expected value for the underlying contract must be equal to the forward price.

Why would this be so?