Question: Consider the single factor APT. Portfolio A has a beta of 1.3 and an expected return of 24.2%. Portfolio B has a beta of 7

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

Consider the single factor APT. Portfolio A has a beta of 1.3 and an expected return of 24.2%. Portfolio B has a beta of 7 and an expected return of 17.5%. The risk-free rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio d A; B B; B. d A; A O B; A

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