Question: Consider a single factor APT. Well-diversified Portfolio A has a beta of 1.0 and an expected return of 19%. Well-diversified Portfolio B has a beta

Consider a single factor APT. Well-diversified Portfolio A has a beta of 1.0 and an expected return of 19%. Well-diversified Portfolio B has a beta of 0.8 and an expected return of 16%. The risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should long __________ and short _______.

A. Portfolio B and the Treasury Bill, Portfolio A B. Portfolio A and the Treasury Bill, Portfolio B C. Portfolio A and the Portfolio B, the Treasury Bill D. The Treasury Bill, Portfolio A and Portfolio B

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