Consider a single factor APT We have the following information about the portfolio A, portfolio B, and risk free rate of return Please answer the following questions Portfolio beta R Rf A 2 3 28 9 B 1 9 20 9 Choose all correct answers Please note that each incorrect answer will reduce the score by 10 1 The arbitrage profit will be 4 70 2 The ratio of risk premium to beta for portfolio B is 7 67 3 The arbitrage profit is 0 5 4 The ratio of risk premium to beta for portfolio A is 8 26 5 The ratio of risk premium to beta for portfolio A is 9 6 The arbitrage profit is 5 7 For portfolio A , the ratio of risk premium to beta is 10 8 The arbitrage strategy is to short portfolio B and use the proceeds to take a long position (75 ) in A and (25 ) in risk free asset 9 The ratio of risk premium to beta for portfolio B is 8 67 10 The ratio of risk premium to beta for portfolio B is 0 09 11 The ratio of risk premium to beta for portfolio A is 10 12 The arbitrage strategy is to short portfolio A and B and use the proceeds to take a long position in risk free asset 13 The arbitrage strategy is to short portfolio B and use the proceeds to take a long position (82 61 ) in A and (17 39 ) in risk free asset 14 The ratio of risk premium to beta for portfolio A is 5 79 15 The arbitrage strategy it to short portfolio A and use the proceeds to take a long position (50 ) in A and (50 ) in risk free asset

Question: Consider a single factor APT. We have the following information about the portfolio A, portfolio B, and risk-free rate of return. Please answer the following

Consider a single factor APT. We have the following information about the portfolio A, portfolio B, and risk-free rate of return. Please answer the following questions.

Portfolio	beta	R	Rf
A	2.3	28%	9%
B	1.9	20%	9%

Choose all correct answers. Please note that each incorrect answer will reduce the score by 10%

	1.	The arbitrage profit will be 4.70%
	2.	The ratio of risk premium to beta for portfolio B is 7.67%
	3.	The arbitrage profit is 0.5%
	4.	The ratio of risk premium to beta for portfolio A is 8.26%
	5.	The ratio of risk premium to beta for portfolio A is 9%
	6.	The arbitrage profit is 5%
	7.	For portfolio A , the ratio of risk premium to beta is 10%
	8.	The arbitrage strategy is to short portfolio B and use the proceeds to take a long position (75%) in A and (25%) in risk free asset
	9.	The ratio of risk premium to beta for portfolio B is 8.67%
	10.	The ratio of risk premium to beta for portfolio B is 0.09
	11.	The ratio of risk premium to beta for portfolio A is 10%
	12.	The arbitrage strategy: is to short portfolio A and B and use the proceeds to take a long position in risk free asset
	13.	The arbitrage strategy is to short portfolio B and use the proceeds to take a long position (82.61%) in A and (17.39%) in risk free asset
	14.	The ratio of risk premium to beta for portfolio A is 5.79%
	15.	The arbitrage strategy it to short portfolio A and use the proceeds to take a long position (50%) in A and (50%) in risk free asset

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