$39$

Multiple Choice $1\mathrm{.}5$ points

Consider the single factor APT. Portfolio A has a beta of $1\mathrm{.}3$ and an expected return of $21\%.$ Portfolio B has a beta of $\mathrm{.}7$ and an expected return of $17\%.$ The risk$-$free rate of return is $8\%.$ If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio

B; A

B; B

A; B

A; A

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