Question: Consider the single factor APT. Portfolio A has a beta of 1.4 and an expected return of 23%. Portfolio B has a beta of 1.2

Consider the single factor APT. Portfolio A has a beta of 1.4 and an expected return of 23%. Portfolio B has a beta of 1.2 and an expected return of 19.3%. The risk-free rate of return is 5%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio ________ and a long position in portfolio ________.

Group of answer choices

B; B

B; A

A; B

A; A

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