Question: Consider the single factor APT. Portfolio A has a beta of 1.2 and an expected return of 21%. Portfolio B has a beta of 0.9

Consider the single factor APT. Portfolio A has a beta of

Consider the single factor APT. Portfolio A has a beta of 1.2 and an expected return of 21%. Portfolio B has a beta of 0.9 and an expected return of 18%. The risk-free rate of return is 2%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio Short A; Long B Short A; Short B Long A; Short B Can't be determined with information given Consider the single factor APT. Portfolio A has a beta of 1.2 and an expected return of 21%. Portfolio B has a beta of 0.9 and an expected return of 18%. The risk-free rate of return is 2%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio Short A; Long B Short A; Short B Long A; Short B Can't be determined with information given

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