Question: 4. Consider a single factor APT. Well-diversified Portfolio A has a beta of 1.0 and an expected return of 16%. Well-diversified Portfolio B has

4. Consider a single factor APT. Well-diversified Portfolio A has a beta

4. Consider a single factor APT. Well-diversified Portfolio A has a beta of 1.0 and an expected return of 16%. Well-diversified Portfolio B has a beta of 0.8 and an expected return of 12%. The risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should short and long A Portfolio A, the riskless asset B. Portfolio A. Portfolio B C. Portfolio B. Portfolio A D the riskless asset, Portfolio A

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