Question: Consider the single factor APT. Portfolio A has a beta of 1.1 and an expected return of 23%. Portfolio B has a beta of .6

Consider the single factor APT. Portfolio A has a beta of 1.1 and an expected return of 23%. Portfolio B has a beta of .6 and an expected return of 19%. The risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _________.

A;B

B;A

B;B

A;A

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