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This MWE:

\documentclass{book}
\usepackage[no-math]{fontspec}
\usepackage{unicode-math}
\setmainfont{Cambria}
\setmathfont{Cambria Math}
\newcommand{\R}{\mathbb{R}}

\begin{document}
$\R^{m\times n}$
\end{document}

gives this error:

! \textfont 197 is undefined (character .5).
l.9 $\R^{m\times n}$
Somewhere in the math formula just ended, you used the
stated character from an undefined font family.

Why?

(Using MiKTeX 2.9, XeTeX Version 3.1415926-2.5-0.9999.3)

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