Question: 1. Consider the single factor APT. Portfolio A has a beta of 0.4 and an expected return of 13%. Portfolio B has a beta of

1. Consider the single factor APT. Portfolio A has a beta of 0.4 and an expected return of 13%. Portfolio B has a beta of 0.75 and an expected return of 15%. The risk-free rate of return is 4%. Is there an arbitrage opportunity? If so, how would you take advantage of it?

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